Despite evidence that stress relates negatively to cognitive functioning in older adults, little is known how appraisal of stress and socioeconomic meso-level factors influence different types of cognitive functions in older adults. Here, we assess the relationship between perceived stress (PSS scale) and a battery of cognitive functions, including prospective memory in 1054 older adults (65+). A moderator analysis assessed whether this relationship varies with neighborhood socioeconomic status using an area-based measure of Socioeconomic Position (SEP). Perceived stress was associated with worse processing speed, verbal fluency, and inductive reasoning. The perceived self-efficacy subscale of the PSS is related to better performance in these measures. Higher self-efficacy was also associated with better prospective memory; this relationship was more pronounced for people with high neighborhood SEP. These findings indicate that not only do perceived stress and perceived self-efficacy relate to cognitive functioning in older age but also that neighborhood SEP is a moderator of this relationship.