This paper shows that gender and regional differences in self-rated health in Europe are partly explained by differences in the prevalence of the various conditions. However, a non-negligible part of these differences is due to other causes, which may include differences in reporting own health. We employ the tool of “anchoring vignettes” to understand whether and how women and men living in different regions differently report levels in a number of health components or domains. We find that vignettes help identifying gender and regional differences in response scales. After controlling for these differences, both gender and regional variation in reported health is substantially reduced, although not entirely eliminated. Our results suggest that differences in response style should be taken into account when using self-assessment of health in socio-economic studies. Failing to do so may lead to misleading conclusions.