Few studies from the United Kingdom have fully investigated inequalities between members of different sexual minority groups and heterosexuals over range of health outcomes. Using data from over 40,000 individuals, this study explores the health inequalities of sexual minority UK adults. We include respondents who identify as other and those who prefer not to say (PNS). Data come from wave three (2011–2012) of the nationally-representative Understanding Society, the UK Household Longitudinal Study. Sexual orientation was asked in the self-completion portion of the study. Markers of health include physical and mental functioning, minor psychological distress, self-rated health, substance use and disability. Multiple linear and logistic regression analyses tested for differences in markers of health between sexual orientation groups. Overall, heterosexual respondents had the best health while bisexual respondents had the worst. Gay and lesbian respondents reported poorer health than heterosexuals, specifically with regards to mental functioning, distress and illness status. The other and PNS respondents were most similar to each other and generally experienced fewer health inequalities than gay and lesbian respondents; they were less likely to use tobacco or alcohol. In sum, sexual minorities experience health inequality. The inclusion of other and PNS respondents has not been done in other studies and shows that while they may be healthier than gay/lesbian and bisexual respondents they still experiences poorer health than heterosexuals. Health promotion interventions are needed for these other and PNS individuals, who might not participate in interventions targeted toward known sexual minority groups.