Objective To examine the association between a changes in social activity and cognitive function in Koreans aged 45 years or older. Methods Data were obtained from 6076 participants aged 45 years and older included in the Korean Longitudinal Study of Aging (2006–2012). Cognitive function was measured using the mini‐mental state examination—Korean version (MMSE‐K). Participation in social activities was classified as “consistent participation,” “consistent non‐participation,” “participation to non‐participation,” and “non‐participation to participation.” Linear mixed models were used to investigate the relationship between type of social activity (religious organizations, friendship organizations, leisure/culture/sports clubs, family or school reunion, volunteering work, and political organizations), and cognitive function. Results Individuals who reported “no participation to participation” (b = 0.778, p < 0.0001) and “consistent participation” (b = 0.968, p < 0.0001) were more likely to show reduced cognitive decline than those who reported “consistent non‐participation” (p < 0.0001 for trend). The positive association between cognitive function and consistent participation in religious activities, friendship organizations, and family/school reunions was particularly strong (b = 0.325, p < 0.0001; b = 0.570, p < 0.0001; b = 0.234, p = 0.0004; respectively, versus consistent non‐participation). Conclusions Promotion of participation in religious organizations, friendship organizations, and family/school reunions (only for older persons) may help preserve cognitive function in individuals aged 45 years or older in Korea. Copyright © 2016 John Wiley & Sons, Ltd.