Declining participation rates in health examination surveys may impair the representativeness of surveys and introduce bias into the comparison of results between population groups if participation rates differ between them. Changes in the characteristics of non-participants over time may also limit comparability with earlier surveys. We studied the association of socio-economic position with participation, and its changes over the past 25 years. Occupational class and educational level are used as indicators of socio-economic position. Data from six cross-sectional FINRISK surveys conducted between 1987 and 2012 in Finland were linked to national administrative registers, which allowed investigation of the differences between survey participants and non-participants. Our results show that individuals with low occupational class or low level of education were less likely to participate than individuals with high occupational class or high level of education. Participation rates decreased in all subgroups of the population but the decline was fastest among those with low level of education. The differences in participation rates must be taken into account to avoid biased estimates because socio-economic position has also been shown to be strongly related to health, health behaviour and biological risk factors. Particular attention should be paid to the recruitment of the less-educated population groups.