Hispanics, and particularly foreign-born Mexican Americans, have been shown to fare better across a range of health outcomes than might be expected given the generally higher levels of socioeconomic disadvantage in this population, a phenomena termed the “Hispanic Paradox”. Previous research on social disparities in cognitive aging, however, has been unable to address both race/ethnicity and nativity (REN) in a nationally-representative sample of US adults leaving unanswered questions about potentially “paradoxical” advantages of Mexican ethnic-origins and the role of nativity, socioeconomic status (SES), and enclave residence. We employ biennial assessments of cognitive functioning to study prevalent and incident cognitive impairment (CI) within the three largest US REN groups: US-born non-Hispanic whites (US-NHW), US-born non-Hispanic blacks (US-NHB), US-born Mexican Americans (US-MA), and foreign-born Mexican Americans (FB-MA). Data come from a nationally-representative sample of community-dwelling older adults in the Health and Retirement Study linked with the 2000 Census and followed over 10 years (N = 8,433). Large disadvantages in prevalent and incident CI were observed for all REN minorities respective to US-born non-Hispanic whites. Individual and neighborhood SES accounted substantially for these disadvantages and revealed an immigrant advantage: FB-MA odds of prevalent CI were about half those of US-NHW and hazards of incident CI were about half those of US-MA. Residence in an immigrant enclave was protective of prevalent CI among FB-MA. The findings illuminate important directions for research into the sources of cognitive risk and resilience and provide guidance about CI screening within the increasingly diverse aging US population.