It has been estimated that at least a third of the most common cancers are related to lifestyle and as such are preventable. Key modifiable lifestyle factors have been individually associated with cancer risk; however, less is known about the combined effects of these factors. This study generated a healthy lifestyle index score (HLIS) to investigate the joint effect of modifiable factors on the risk of overall cancers, alcohol-related cancers, tobacco-related cancers, obesity-related cancers, and reproductive-related cancers. The study included 391,608 men and women from the multinational European Prospective Investigation into Cancer and Nutrition (EPIC) cohort. The HLIS was constructed from 5 factors assessed at baseline (diet, physical activity, smoking, alcohol consumption, and anthropometry) by assigning scores of 0 to 4 to categories of each factor, for which higher values indicate healthier behaviors. Hazard ratios (HR) were estimated by Cox proportional regression and population attributable fractions (PAFs) estimated from the adjusted models. There was a 5% lower risk (adjusted HR 0.952, 95% confidence interval (CI): 0.946, 0.958) of all cancers per point score of the index for men and 4% (adjusted HR 0.961, 95% CI: 0.956, 0.966) for women. The fourth versus the second category of the HLIS was associated with a 28% and 24% lower risk for men and women respectively across all cancers, 41% and 33% for alcohol-related, 49% and 46% for tobacco-related, 41% and 26% for obesity-related, and 21% for female reproductive cancers. Findings suggest simple behavior modifications could have a sizeable impact on cancer prevention, especially for men.