Adolescents of low socio-economic position (SEP) are less likely than those of higher SEP to consume diets in line with current dietary recommendations. The reasons for these SEP variations remain poorly understood. We investigated the mechanisms underlying socio-economic variations in adolescents’ eating behaviours using a theoretically derived explanatory model. Data were obtained from a community-based sample of 2529 adolescents aged 12–15 years, from 37 secondary schools in Victoria, Australia. Adolescents completed a web-based survey assessing their eating behaviours, self-efficacy for healthy eating, perceived importance of nutrition and health, social modelling and support and the availability of foods in the home. Parents provided details of maternal education level, which was used as an indicator of SEP. All social cognitive constructs assessed mediated socio-economic variations in at least one indicator of adolescents’ diet. Cognitive factors were the strongest mediator of socio-economic variations in fruit intakes, while for energy-dense snack foods and fast foods, availability of energy-dense snacks at home tended to be strong mediators. Social cognitive theory provides a useful framework for understanding socio-economic variations in adolescent's diet and might guide public health programmes and policies focusing on improving adolescent nutrition among those experiencing socio-economic disadvantage.