Differences in mortality between groups with different socioeconomic positions (SEP) are well-established, but the relative contribution of different SEP measures is unclear. This study compares the correlation between three SEP dimensions and mortality, and investigates differences between gender and age groups (35–59 vs. 60–84). We use an 11% random sample with an 80% oversample of deaths from the Finnish population with information on education, occupational class, individual income, and mortality (n = 496,658; 274,316 deaths between 1995 and 2007). We estimate bivariate and multivariate Cox proportional hazard models and population attributable fractions. The total effects of education are substantially mediated by occupation and income, and the effects of occupation is mediated by income. All dimensions have their own net effect on mortality, but income shows the steepest mortality gradient (HR 1.78, lowest vs. highest quintile). Income is more important for men and occupational class more important among elderly women. Mortality inequalities are generally smaller in older ages, but the relative importance of income increases. In health inequality studies, the use of only one SEP indicator functions well as a broad marker of SEP. However, only analyses of multiple dimensions allow insights into social mechanisms and how they differ between population subgroups.