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Within the literature on health inequalities and social determinants of health, there is a growing interest in studying how the context of residence is able to influence health conditions and health‐related outcomes, over and above individual characteristics. Life context affects people's well‐being in a material way, through the availability of services and resources, but also through social, cultural and relational resources, to the extent to which people within the same context share norms, values and behaviours affecting their health conditions. In this study, we analysed the association between social cohesion in the context of residence and two health‐related outcomes, psycho‐physical well‐being and self‐efficacy, in school‐aged children in Lombardy, using data from the Health Behaviour in School‐aged Children (HBSC) study for 2014. The results show a positive association between the variables, indicating that social cohesion matters for young people's health and well‐being and suggesting new areas of intervention in policies aiming at promoting health and reducing inequalities. [ABSTRACT FROM AUTHOR]