Protein folding cooperativity is defined by the nature of the finite-size thermodynamic transition exhibited upon folding: two-state transitions show a free-energy barrier between the folded and unfolded ensembles, while downhill folding is barrierless. A microcanonical analysis, where the energy is the natural variable, has proved to be better suited than its canonical counterpart to unambiguously characterize the nature of the transition. Replica-exchange molecular dynamics simulations of a high-resolution coarse-grained model allow for the accurate evaluation of the density of states in order to extract precise thermodynamic information and measure its impact on structural features. The method has been applied to three helical peptides: a short helix shows sharp features of a two-state folder, while a longer helix and a three-helix bundle exhibit downhill and two-state transitions, respectively. Extending the results of lattice simulations and theoretical models, we have found that it is the interplay between secondary structure and the loss of non-native tertiary contacts that determines the nature of the transition.