This study covered the health shocks component of a large study conducted to investigate the role of Social protection on the welfare of vulnerable communities in East Africa. The study investigated the incidences of health shocks (illness, injury and death of household member), their respective coping mechanisms and determinants of choices of coping mechanisms in three districts of Masindi, Dokolo and Moroto. A household survey data that covered 1,496 households, collected using standard questionnaire by researchers from Makerere University in 2011/2012 was used. In addition, Focused Group Discussion reports were used. Descriptive statistics and multinomial logit models were used in data analysis. The results showed that illness (61% of the cases) was the most common health shock reported. Households in Moroto district were more vulnerable to illness and death of a household head than in Masindi and Dokolo districts. Poor households were less likely to report health shock incidences even though they were more vulnerable than the wealthier households. Poor households have limited capacity to cope with shocks in general, hence health shocks are a major source of their vulnerability to poverty.