Limited evidence exists on the role of modifiable lifestyle factors on the risk of lymphoma. In this work, the associations between adherence to healthy lifestyles and risks of Hodgkin lymphoma (HL) and non‐Hodgkin lymphoma (NHL) were evaluated in a large‐scale European prospective cohort. Within the European Prospective Investigation into Cancer and Nutrition (EPIC), 2,999 incident lymphoma cases (132 HL and 2,746 NHL) were diagnosed among 453,808 participants after 15 years (median) of follow‐up. The healthy lifestyle index (HLI) score combined information on smoking, alcohol intake, diet, physical activity and BMI, with large values of HLI expressing adherence to healthy behavior. Cox proportional hazards models were used to estimate lymphoma hazard ratios (HR) and 95% confidence interval (CI). Sensitivity analyses were conducted by excluding, in turn, each lifestyle factor from the HLI score. The HLI was inversely associated with HL, with HR for a 1‐standard deviation (SD) increment in the score equal to 0.78 (95% CI: 0.66, 0.94). Sensitivity analyses showed that the association was mainly driven by smoking and marginally by diet. NHL risk was not associated with the HLI, with HRs for a 1‐SD increment equal to 0.99 (0.95, 1.03), with no evidence for heterogeneity in the association across NHL subtypes. In the EPIC study, adherence to healthy lifestyles was not associated with overall lymphoma or NHL risk, while an inverse association was observed for HL, although this was largely attributable to smoking. These findings suggest a limited role of lifestyle factors in the etiology of lymphoma subtypes.