Ambient air pollution is a leading environmental risk factor and its broad spectrum of adverse health effects includes a decrease in lung function. Socioeconomic status (SES) is known to be associated with both air pollution exposure and respiratory function. This study assesses the role of SES either as confounder or effect modifier of the association between ambient air pollution and lung function. Cross-sectional data from three European multicenter adult cohorts were pooled to assess factors associated with lung function, including annual means of home outdoor NO2. Pre-bronchodilator lung function was measured according to the ATS-criteria. Multiple mixed linear models with random intercepts for study areas were used. Three different factors (education, occupation and neighborhood unemployment rate) were considered to represent SES. NO2 exposure was negatively associated with lung function. Occupation and neighborhood unemployment rates were not associated with lung function. However, the inclusion of the SES-variable education improved the models and the air pollution-lung function associations got slightly stronger. NO2 associations with lung function were not substantially modified by SES-variables. In this multicenter European study we could show that SES plays a role as a confounder in the association of ambient NO2 exposure with lung function.