Study Objectives: We examined and compared cross-sectional and longitudinal associations between self-reported sleep disturbances and various cognitive domains in five separate Nordic European longitudinal aging studies (baseline N = 5631, mean age = 77.7, mean follow-up = 4.16 years). Methods: Comparable sleep parameters across studies included reduced sleep duration/quality, insomnia symptoms (sleep latency, waking up at night, and early awakenings), short and long sleep duration, and daytime napping. The cognitive domains were episodic memory, verbal fluency, perceptual speed, executive functioning, and global cognition (aggregated measure). A series of mixed linear models were run separately in each study and then compared to assess the level and rate of change in cognitive functioning across each sleep disturbance parameter. Models were adjusted for age, sex, education, hypnotic usage, depressive symptoms, lifestyle factors, cardiovascular, and metabolic conditions. By using a coordinated analytic approach, comparable construct-level measurements were generated, and results from identical statistical models were qualitatively compared across studies. Results: While the pattern of statistically significant results varied across studies, subjective sleep disturbances were consistently associated with worse cognition and steeper cognitive decline. Insomnia symptoms were associated with poorer episodic memory and participants sleeping less or more than 7–8 hours had a steeper decline in perceptual speed. In addition, daytime napping (>2 hours) was cross-sectionally and longitudinally associated with all examined cognitive domains. Most observed associations were study-specific (except for daytime napping), and a majority of association estimates remained significant after adjusting for covariates. Conclusion: This rigorous multicenter investigation further supports the importance of sleep disturbance, including insomnia, long and short sleep duration, and daytime napping on baseline cognitive functioning and rate of change among older adults. These sleep factors may be targeted in future lifestyle interventions to reduce cognitive decline.