Objective This study aimed to examine the association of Test Your Memory (TYM)‐defined cognitive impairment groups with known sociodemographic and cardiometabolic correlates of cognitive impairment in a population‐based study of older adults. Methods Participants were members of the British Regional Heart Study, a cohort across 24 British towns initiated in 1978–1980. Data stemmed from 1570 British men examined in 2010–2012, aged 71–92 years. Sociodemographic and cardiometabolic factors were compared between participants defined as having TYM scores in the normal cognitive ageing, mild cognitive impairment (MCI) and severe cognitive impairment (SCI) groups, defined as ≥46 (45 if ≥80 years of age), ≥33 and <33, respectively. Results Among 1570 men, 636 (41%) were classified in the MCI and 133 (8%) in the SCI groups. Compared with participants in the normal cognitive ageing category, individuals with SCI were characterized primarily by lower socio‐economic position (odds ratio (OR) = 6.15, 95% confidence interval (CI) 4.00–9.46), slower average walking speed (OR = 3.36, 95% CI 2.21–5.10), mobility problems (OR = 4.61, 95% CI 3.04–6.97), poorer self‐reported overall health (OR = 2.63, 95% CI 1.79–3.87), obesity (OR = 2.59, 95% CI 1.72–3.91) and impaired lung function (OR = 2.25, 95% CI 1.47–3.45). A similar albeit slightly weaker pattern was observed for participants with MCI. Conclusion Sociodemographic and lifestyle factors as well as adiposity measures, lung function and poor overall health are associated with cognitive impairments in late life. The correlates of cognitive abilities in the MCI and SCI groups, as defined by the TYM, resemble the risk profile for MCI and Alzheimer's disease outlined in current epidemiological models. © 2016 The Authors. International Journal of Geriatric Psychiatry Published by John Wiley & Sons, Ltd.