The status anxiety hypothesis proposes that systematic inflammation as a consequence of chronic psycho-social stress is a possible pathway linking socio-economic position (SEP) to premature ageing and is a possible explanation for cross-national variation in patterns of health and well-being. Harmonised data from the LIFEPATH consortium on 18,349 individuals aged 50 to 75 and 30,632 observations are used to measure variation in the association between inflammation measured as C-reactive protein and SEP across four countries (Britain, Ireland, Portugal and Switzerland) and five studies (ELSA, Whitehall II, TILDA, EPIPorto and SKIPOGH). Adjusting for population composition, mean concentrations of CRP are highest in Portugal, the country with the highest income inequality and lowest in Switzerland, a lower income inequality country. Across all of the studies, lower SEP groups have higher mean concentrations of CRP and, as predicted by the theory, absolute differentials between SEP groups reflect the pattern of societal income inequality. Adjustment for lifestyle indicators reduces SEP differentials by between 45% and 52% but cannot account for country variation in mean inflammation.