Abstract Background Prevalence of cognitive decline and dementia is rising globally, with more than 10 million new cases every year. These conditions cause a significant burden for individuals, their caregivers, and health care systems. As no causal treatment for dementia exists, prevention of cognitive decline is of utmost importance. Notably, alcohol is among the most significant modifiable risk factors for cognitive decline. Methods Longitudinal data across 15 years on 6,967 individuals of the Survey of Health, Ageing and Retirement in Europe were used to analyze the effect of alcohol consumption and further modifiable (i.e., smoking, depression, and educational obtainment) and non-modifiable risk factors (sex and age) on cognitive functioning (i.e., memory and verbal fluency). For this, a generalized estimating equation linear model was estimated for every cognitive test domain assessed. Results Consistent results were revealed in all three regression models: A nonlinear association between alcohol consumption and cognitive decline was found—moderate alcohol intake was associated with overall better global cognitive function than low or elevated alcohol consumption or complete abstinence. Furthermore, female sex and higher educational obtainment were associated with better cognitive function, whereas higher age and depression were associated with a decline in cognitive functioning. No significant association was found for smoking. Conclusion Our data indicate that alcohol use is a relevant risk factor for cognitive decline in older adults. Furthermore, evidence-based therapeutic concepts to reduce alcohol consumption exist and should be of primary interest in prevention measures considering the aging European population.