Health inequalities are an emerging issue in ageing societies, but inequalities in pre-frailty, which is suffered by almost half of older people, are mostly unknown. This study aimed to determine the association between the socio-economic status (SES) and changes across pre-frailty, frailty, disability and all-cause mortality. We conducted a prospective cohort study across 23 Japanese municipalities between 2010 and 2013. Functionally independent community-dwelling older adults aged ≥65 years (n = 65 952) in 2010 were eligible for the study. The baseline survey was conducted from 2010 to 2012, and the self-reporting questionnaires were mailed to 126 438 community-dwelling older adults [64.8% (81 980/126 438) response rate]. The follow-up survey was conducted in 2013. Overall, 65 952 individuals were followed up [80.4% (65 952/81 980) follow-up rate]. The health status was classified into five groups: robust; pre-frailty; frailty; disability and death. We conducted three multinomial logistic regression models stratified by the initial disability status. Educational attainment and equivalized household income were separately added to the models as exposures after adjusting for covariates. Participants with the lowest educational level were less likely to recover from pre-frailty to robust compared with those with the highest level [odds ratio (OR) (95% confidence interval (CI)) = 0.84 (0.76-0.93)]. The participants with the lowest income level were also less likely to recover from pre-frailty to robust compared with those with the highest level [OR (95% CI) = 0.80 (0.69-0.91)]. Older individuals with a lower SES were less likely to recover from a pre-frailty status.