Socio-economic position (SEP) is associated with all-cause mortality across all stages of the life course; however, it is valuable to distinguish at what time periods SEP has the most influence on mortality. Our aim was to investigate whether the effect of SEP on all-cause mortality accumulates over the life course or if some periods of the life course are more important. Our study population were from the Uppsala Birth Cohort Multigenerational Study, born 1915–29 at Uppsala University Hospital, Sweden. We followed 3,951 men and 3,601 women who had SEP at birth available, during childhood (at age ten), in adulthood (ages 30–45) and in later life (ages 50–65) from 15 September 1980 until emigration, death or until 31 December 2010. We compared a set of nested Cox proportional regression models, each corresponding to a specific life course model (critical, sensitive and accumulation models), to a fully saturated model, to ascertain which model best describes the relationship between SEP and mortality. Analyses were stratified by gender. For both men and women the effect of SEP across the life course on all-cause mortality is best described by the sensitive period model, whereby being advantaged in later life (ages 50–65 years) provides the largest protective effect. However, the linear accumulation model also provided a good fit of the data for women suggesting that improvements in SEP at any stage of the life course corresponds to a decrease in all-cause mortality.