This study provides a cross-national perspective to apply Cumulative Dis/Advantage (CDA) in explaining health inequality between developing and developed countries in the context of Welfare State Theory. Cross-sectional data from the international Health Retirement Study (United States, China, Mexico, and England) in 2013–2014 were used (n = 97,978). Four health indicators were included: self-reported health, depressive symptoms, functional ability, and memory. Regression models were fitted to examine the moderation roles of country and gender. Results indicated older Chinese and Mexican had poorer health status than their British and American counterparts consistently except for Mexicans’ memory. Cumulative health gaps between developing and developed countries existed only for functional ability. There is no evidence of a widening gap in health status between genders in late life. CDA explains the increasing gaps of functional ability across age groups between countries. General health and mental health, may however, depend more on individuals’ intrinsic capacity and human agency.