Smoking and obesity are two leading causes of preventable death. Further understanding of the relationship between these two risk factors can assist in reducing avoidable morbidity and mortality. This study investigates the empirical association between obesity and the propensity to smoke and to quit smoking, using a Seemingly Unrelated (SUR) probit approach that takes into consideration the potential for reverse causality and unobserved heterogeneity. Using Australian health survey data, this article demonstrates the usefulness of the SUR probit approach in generating information on the relationship between unobserved factors influencing both smoking behaviour and obesity, and in providing estimates of the conditional probabilities of each risk factor. Results suggest the two risk factors are not independent. The presence, size and direction of correlation between the unobserved factors are found to vary by smoking behaviour and by gender. Estimates of conditional probabilities demonstrate smokers have a lower probability of obesity, particularly among females, and ex-smokers have a higher probability of obesity, particularly among males. These findings suggest that health policies targeted at one risk factor may have unintended implications for the other.