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Higher socio-economic status (SES) has been proposed to have facilitating and protective effects on brain and cognition. We ask whether relationships between SES, brain volumes and cognitive ability differ across cohorts, by age and national origin. European and US cohorts covering the lifespan were studied (4-97 years, N = 500 000; 54 000 w/brain imaging). There was substantial heterogeneity across cohorts for all associations. Education was positively related to intracranial (ICV) and total gray matter (GM) volume. Income was related to ICV, but not GM. We did not observe reliable differences in associations as a function of age. SES was more strongly related to brain and cognition in US than European cohorts. Sample representativity varies, and this study cannot identify mechanisms underlying differences in associations across cohorts. Differences in neuroanatomical volumes partially explained SES-cognition relationships. SES was more strongly related to ICV than to GM, implying that SES-cognition relations in adulthood are less likely grounded in neuroprotective effects on GM volume in aging. The relatively stronger SES-ICV associations rather are compatible with SES-brain volume relationships being established early in life, as ICV stabilizes in childhood. The findings underscore that SES has no uniform association with, or impact on, brain and cognition.