Cognitive health is a major concern for older adults. Cognitive decline poses risks to individual wellbeing and the public health system; therefore, identifying modifiable social risk factors is crucial. Social exclusion among older adults can occur across multiple domains simultaneously; however, few studies assess the association between multidimensional exclusion and cognitive function. This study investigates the relationship between three domains of social exclusion – economic, social relations and civic participation – and cognitive performance, examining both individual and combined effects among middle-aged and older adults in Europe. The study uses data from 60,726 participants in the ninth wave of the Survey on Health, Ageing and Retirement in Europe. It assesses the independent and cumulative associations between social exclusion and cognitive function, while adjusting for socio-demographic and health-related variables. Cognitive function was most strongly associated with civic participation (β = −0.40), followed by social relationships (β = −0.36) and economic exclusion (β = −0.32), all of which were statistically significant (p < 0.001). A cumulative effect was found; individuals excluded from all three domains had the lowest cognitive scores (β = −1.12; p < 0.001), with cognitive performance declining progressively as the number of exclusion domains increased. These results highlight that multidimensional social exclusion is associated with worse cognitive outcomes, even after controlling for other relevant variables. Civic exclusion emerged as the domain with the most significant association, suggesting that encouraging civic participation – such as volunteering or participating in politics – may be a valuable strategy for supporting cognitive health in later life.