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Introduction Musical instrument playing provides intellectual stimulation, which is hypothesised to generate cognitive reserve that protects against cognitive impairment. Studies to date have classified musicianship as a binary entity. This investigation draws on the dataset of the European Prospective Investigation of Cancer Norfolk study to examine the effect of frequency of playing on later-life cognition. Methods We compared three categorisations of self-reported musical playing frequency in late mid-life (12-month period) against cognitive performance measured after a 4–11 year delay, adjusted for relevant health and social confounders. Logistic regression models estimated the adjusted association between frequency of musical playing and the likelihood of being in the top and bottom cognitive deciles. Results A total of 5,693 participants (745 musicians) provided data on music playing, cognition and all co-variables. Classification of musicianship by frequency of playing demonstrated key differences in socio-demographic factors. Musicians outperformed non-musicians in cognition generally. Compared with non-musicians, frequent musicians had 80% higher odds of being in the top cognitive decile (OR 1.80 [95% CI 1.19–2.73]), whereas musicians playing at any frequency had 29% higher odds (95% CI 1.03–1.62). There was evidence of a threshold effect, rather than a linear dose–response relationship. Discussion This study supports a positive association between late mid-life musical instrument playing and later-life cognition, although causation cannot be assumed. Musicians playing frequently demonstrated the best cognition. 'Musicians' are a heterogeneous group and frequency of music playing seems a more informative measure than binary classification. Ideally, this more nuanced measure would be collected for different life course phases. [ABSTRACT FROM AUTHOR]