OBJECTIVE: To estimate the proportion of ethnic inequalities explained by living in a multi-generational household. DESIGN: Causal mediation analysis. SETTING: Retrospective data from the 2011 Census linked to Hospital Episode Statistics (2017-2019) and death registration data (up to 30 November 2020). PARTICIPANTS: Adults aged 65 years or over living in private households in England from 2 March 2020 until 30 November 2020 (n=10,078,568). MAIN OUTCOME MEASURES: Hazard ratios were estimated for COVID-19 death for people living in a multi-generational household compared with people living with another older adult, adjusting for geographic factors, socioeconomic characteristics and pre-pandemic health. RESULTS: Living in a multi-generational household was associated with an increased risk of COVID-19 death. After adjusting for confounding factors, the hazard ratios for living in a multi-generational household with dependent children were 1.17 (95% confidence interval [CI] 1.06-1.30) and 1.21 (95% CI 1.06-1.38) for elderly men and women. The hazard ratios for living in a multi-generational household without dependent children were 1.07 (95% CI 1.01-1.13) for elderly men and 1.17 (95% CI 1.07-1.25) for elderly women. Living in a multi-generational household explained about 11% of the elevated risk of COVID-19 death among elderly women from South Asian background, but very little for South Asian men or people in other ethnic minority groups. CONCLUSION: Elderly adults living with younger people are at increased risk of COVID-19 mortality, and this is a contributing factor to the excess risk experienced by older South Asian women compared to White women. Relevant public health interventions should be directed at communities where such multi-generational households are highly prevalent.