A recent study of healthy young adults found that exposure to social and personal adversity is a risk factor for executive function deficits in individuals with a positive family history of alcohol dependence (Lovallo et al. 2013). In support of this, we find the impact of polygenic risk for alcohol dependence on Mill Hill Vocabulary to be greatest in individuals living in the most socially deprived areas. However, we also find that individuals living in social deprivation tend to carry more alcohol dependence risk alleles, which in turn is correlated with worse performance on Mill Hill Vocabulary tests. Therefore, a gene × environment interaction cannot be readily differentiated from a gene–environment correlation. Furthermore, the interaction between PGRS and social deprivation only withstood correction for multiple testing when the meta‐analysed risk score was used and therefore these results need to be interpreted cautiously until replicated in an independent sample.