Associations among cognitive ability, socioeconomic position, and health have been interpreted to imply that cognitive ability could explain social inequalities in health. The authors test this hypothesis by examining three questions: Is cognitive ability related to health? To what extent does it explain social inequalities in health? Do measures of socioeconomic position and cognitive ability have independent associations with health? Relative indices of inequality were used to estimate associations, using data from the Whitehall II study (baseline, 1985-1988), a British prospective cohort study (4,158 men and 1,680 women). Cognitive ability was significantly related to coronary heart disease, physical functioning, and self-rated health in both sexes and additionally to mental functioning in men. It explained some of the relation between socioeconomic position and health: 17% for coronary heart disease, 33% for physical functioning, 12% for mental functioning, and 39% for self-rated health. In analysis simultaneously adjusted for all measures of socioeconomic position, cognitive ability retained an independent association only with physical functioning in women. These results suggest that, although cognitive ability is related to health, it does not explain social inequalities in health.