Identification of cognition status and its associated factors permit targeted interventions. This study aimed to: (i) investigate cognitive function of Chinese older adults using a large, nationally representative cohort; and (ii) explore its associated factors from aspects of socio-demographic, health behaviour, physical and mental health. Data on 2665 adults aged 65 and older from the China Health and Retirement Longitudinal Study wave 4 in 2018 were analyzed. Information on self-reported cognition status, socio-demographic characteristics, health behaviour, physical and mental health status were obtained. Hierarchical regression analyses were conducted to explore associated factors. The cognition score was 24.8, with 41.1% of Chinese older adults identified as cognitively impaired. Better cognition was associated with being married, more education, living in a city/town or urban-rural integration zone, moderate night-time sleep (5-9 h) and post-lunch napping (less than 90 min), moderate/light physical activity for 30 min to 2 h every day, socially active and good health status; while worse cognition was associated with older age, intensive physical activity every day and more than 4 h a day, greater dependency in activities of daily living and depression. Cognitive impairment is a common health problem in Chinese older adults. Its associated factors are multifaceted, including socio-demographic characteristics, health behaviour and physical and mental health status. Developing interventions focused on these factors may be an important part of optimising cognition in these populations.