While the health benefits of cycling and walking have been well established, questions remain about whether these benefits hold in varying socioeconomic contexts, including across demographic groups and in the context of neighborhood change. This study examines this relationship, identifying associations between cycling or walking and self-reported health, whether socioeconomic status moderates these associations, and whether gentrification influences the potential moderating effects. This study uses the 2017 National Household Travel Survey, subset to adults who lived in central cities (n = 88,698). Weighted ordered logistic regression models were fit to estimate self-reported health status separately for cycling and walking. Gentrification was measured using an indicator based on previous research using US Census data. People who had cycled in the past week and each additional walking trip were associated with higher odds of reporting better health. Socioeconomic status moderated the positive associations between active transportation and health in a few key cases. Cycling was not as strongly associated with health for Black cyclists or employed cyclists, while women had smaller benefits from each additional walking trip compared to men. Gentrification was an insignificant moderating factor in most cases. Findings suggest planning efforts that continue to support programs that promote cycling and walking are crucial tools in the public health toolbox. The health gains from active transportation might be experienced in a variety of neighborhood contexts. Nevertheless, infrastructure investments and policy must be attentive to inequities across neighborhoods.