Alcohol use, smoking, sleep, body weight, and physical activity have been associated with mortality in numerous cohort studies globally since the 1960s. These factors account for a substantial proportion of morbidity and mortality in the population. Analyses of twin pairs permits us to tease out the potential confounding roles of family environment and genes in these associations. In following up twins in the Finnish Twin Cohort from a single baseline measure in 1975 until 2020, we saw that over 40% of the cohort died during follow-up, providing substantial statistical power to the study. Alcohol use, any smoking, obesity, short sleep, and low leisure-time physical activity were all independently associated with an increased risk of death, when adjusted for health status at baseline. In within-pair analyses of MZ pairs, who are genetically identical at the sequence level, the association of smoking with mortality remains substantial and statistically significant, while association with alcohol use retains a large effect size for very high alcohol use, but loses statistical significance. For sleep, leisure-time physical activity and BMI, we see very little or no evidence of association with mortality in the MZ pairs. DZ pairs retain substantial associations for alcohol, smoking, and obesity but not sleep or leisure-time physical activity. The results provide additional evidence for causal effects of smoking and excess alcohol use. For sleep and leisure-time physical activity, the pattern of results suggests substantial confounding by familial and genetic factors. As the association of obesity with mortality is seen in DZ pairs but not MZ pairs, there may be complex gene–environment interplay effects.