Introduction: Dementia prevalence in older women is higher than that in men. The purpose of the present study was to investigate whether there is a female disadvantage in cognitive functioning at adult age and/or whether a female disadvantage develops with age. Methods: Data of 5,135 women and 4,756 men from the Longitudinal Aging Study Amsterdam (LASA) and the Doetinchem Cohort Study (DCS) were used. In the LASA, memory, processing speed, fluid intelligence, and global cognitive function were measured every 3–4 years since 1992 in persons aged 55+ years for up to 23 years. In the DCS, memory, processing speed, cognitive flexibility, and global cognitive function were measured every 5 years since 1995 in persons aged 45+ years for up to 20 years. Sex differences in cognitive aging were analyzed using linear mixed models and also examined by the 10-year birth cohort or level of education. Results: Women had a better memory, processing speed, flexibility, and, in the DCS only, global cognitive function than men ( p ’s < 0.01). However, women showed up to 10% faster decline in these cognitive domains, except for flexibility, where women showed 9% slower decline. In the LASA, women scored poorer on fluid intelligence ( p < 0.01), but their decline was 10% slower than that in men. Female advantage was larger in later born cohorts; adjustment for the educational level increased the female advantage. Conclusion: Women have better memory and processing speed than men at middle age. This female advantage becomes smaller with aging and has increased in more recent birth cohorts.