BACKGROUND: Cognitive performance has been associated with mental and physical health, but it is unknown whether the strength of these associations changes with ageing and with age-related social transitions, such as retirement. We examined whether cognitive performance predicted mental and physical health from midlife to early old age. METHOD: Participants were 5414 men and 2278 women from the Whitehall II cohort study followed for 15 years between 1991 and 2006. The age range included over the follow-up was from 40 to 75 years. Mental health and physical functioning were measured six times using SF-36 subscales. Cognitive performance was assessed three times using five cognitive tests assessing verbal and numerical reasoning, verbal memory, and phonemic and semantic fluency. Socio-economic status (SES) and retirement were included as covariates. RESULTS: High cognitive performance was associated with better mental health and physical functioning. Mental health differences associated with cognitive performance widened with age from 39 to 76 years of age, whereas physical functioning differences widened only between 39 and 60 years and not after 60 years of age. SES explained part of the widening differences in mental health and physical functioning before age 60. Cognitive performance was more strongly associated with mental health in retired than non-retired participants, which contributed to the widening differences after 60 years of age. CONCLUSIONS: The strength of cognitive performance in predicting mental and physical health may increase from midlife to early old age, and these changes may be related to SES and age-related transitions, such as retirement.