To determine whether a seemingly "paradoxical" trend whereby mental health improves as a function of age despite declining physical and cognitive health occurs in U.S. military veterans, who are older, and have higher rates of trauma exposure and psychiatric morbidities relative to non-veterans. Using data from a nationally representative, cross-sectional sample of 4069 U.S. veterans, polynomial regression analyses were conducted to examine changes in self-reported physical, cognitive, and mental health of veterans representing the full age spectrum. Physical health scores were consistently average and stable until around age 80 when they declined. In contrast, cognitive and mental health scores were markedly lower in young veterans and then increased linearly and positively well into late-life. While greater age is associated with relative stability and late-life decline in physical health in U.S. veterans, mental and cognitive health steadily improve until much later in life. Results may help inform age-specific prevention and treatment efforts to promote healthy aging in this population.