Ageing has been related to the onset of disability and dependency in older adults. There is a need to better understand the disability and dependency trajectories of older adults and their relationship with socio-demographic characteristics and institutional or cultural context. This study analyses the role of age, sex, education and self-perceived health in disability, dependency and death transitions, addressing the heterogeneity across European countries and inconsistencies when using different measures of disability. Multi-state models were adjusted to evaluate the role of risk and protective factors in the transitions to disability, dependency and death. Difficulties in performing activities of daily living (ADLs) assess disability and dependency states. Data were from the Survey of Health, Ageing and Retirement in Europe conducted in 2004–2013, considering individuals aged 65 and older at baseline from Austria, Belgium, Denmark, France, Germany, Italy, the Netherlands, Spain, Sweden and Switzerland. The results showed that transitions to disability and dependency varied with age, sex, education and self-perceived health. The probability of transition to disability and dependency states increases until the age of 70 for all countries. However, there was heterogeneity in the disability and dependency trajectories with ageing between men and women. In most countries, women live with difficulties and may need help for longer than men. Care policies should consider sex differences to decrease the burden of care of informal caregivers, particularly in countries where care systems are absent or partially developed and a high level of family obligations to care needs exist.Supplementary InformationThe online version contains supplementary material available at 10.1007/s10433-023-00763-0.