The decay constants of B, D and K mesons are computed in quenched lattice QCD at two different values of the coupling. The action and operators are O(a) improved with non-perturbative coefficients. The results are f_B=195(6)(+24/-23) MeV, f_D=206(4)(+17/-10) MeV, f_B_s=220(6)(+23/-28) MeV, f_D_s=229(3)(+23/-12) MeV and f_K= 150(3)(+12/-8) MeV. Systematic errors are discussed in detail. Results for vector decay constants, flavour symmetry breaking ratios of decay constants, the pseudoscalar-vector mass splitting and D meson masses are also presented.