Background: Various studies have demonstrated the associations between socioeconomic status (SES) and health and health behaviour among adolescents. However, few studies have compared the socioeconomic difference in adolescent smoking between countries with different stage of smoking. The purpose of this study was to examine and compare the relationship between socioeconomic status (SES) and adolescent smoking in Beijing, China and Finland through the Health Behaviour in School-aged Children (HBSC) study. Methods: The data used in this study were derived from the Chinese HBSC linked project survey 2008 in Beijing and the Finnish HBSC survey 2006. The final sample included 2005 Chinese and 1685 Finnish 15-year-old schoolchildren. The associations between Family Affluence Scale (FAS), as the SES measure, and adolescents’ smoking behaviour, including ever smoked, weekly smoking and the early onset of smoking were examined separately in two countries through binary logistic regression. Results: Compared to students from the high FAS group, Chinese boys from the low FAS group were more likely to report having ever smoked (OR = 2.12, 95 % CI = 1.49–3.01) and being early onset of smoking (OR = 2.17, 95 % CI = 1. 44–3.26). Finnish girls from the low FAS group were more likely to report being weekly smokers (OR = 1.68, 95 % CI = 1. 07–2.65). No significant difference was found for Chinese girls and Finnish boys. Conclusions: This study indicated different patterns of socioeconomic difference in smoking between Chinese and Finnish adolescents by gender and by smoking behaviour, which suggests that socioeconomic inequalities in smoking are different among adolescents in countries with different stage of smoking. Country specific policies and interventions for different target groups should be encouraged and designed for reducing the prevalence of adolescents’ smoking.