BACKGROUND: 'Active ageing' has been promoted as a strategy for extending quality of life and healthy life expectancy. However, there is limited evidence from nationally representative longitudinal studies on whether engagement among older adults is associated with better outcomes and few studies have considered possible bias arising from differential study attrition. METHODS: We investigate associations between the engagement of people aged 50-69 in three types of activity with self-rated health and depression 2 years later using nationally representative longitudinal data from four European countries (Denmark, France, Italy and England). Data were drawn from waves 1 and 2 of the Survey of Health, Ageing and Retirement in Europe and the English Longitudinal Study of Ageing. Multivariable analysis was used to analyse associations between baseline activity and outcomes at follow-up controlling for socioeconomic, demographic and health-related variables at baseline. Multiple imputation techniques and sensitivity analyses were undertaken to investigate possible bias arising from sample attrition. RESULTS: Respondents in paid work at baseline were less likely to be depressed or to report poor or fair health at follow-up than those who were 'inactive', although not in Italy. Engagement in formal and informal activities was not significantly associated with health at follow-up. Sensitivity analyses showed that assuming that those in bad health were over-represented among study attritors weakened the association between work at baseline and health at follow-up. CONCLUSIONS: Engagement in paid work may help maintain health in later life, although mechanisms and contextual influences need further investigation.