OBJECTIVES: We examined whether neighborhood socioeconomic status (NSES) is associated with cognitive functioning in older US women and whether this relationship is explained by associations between NSES and vascular, health behavior, and psychosocial factors. METHODS: We assessed women aged 65 to 81 years (n = 7479) who were free of dementia and took part in the Women's Health Initiative Memory Study. Linear mixed models examined the cross-sectional association between an NSES index and cognitive functioning scores. A base model adjusted for age, race/ethnicity, education, income, marital status, and hysterectomy. Three groups of potential confounders were examined in separate models: vascular, health behavior, and psychosocial factors. RESULTS: Living in a neighborhood with a 1-unit higher NSES value was associated with a level of cognitive functioning that was 0.022 standard deviations higher (P = .02). The association was attenuated but still marginally significant (P < .1) after adjustment for confounders and, according to interaction tests, stronger among younger and non-White women. CONCLUSIONS: The socioeconomic status of a woman's neighborhood may influence her cognitive functioning. This relationship is only partially explained by vascular, health behavior, or psychosocial factors. Future research is needed on the longitudinal relationships between NSES, cognitive impairment, and cognitive decline.