The data presented in this study provide evidence that polygenic risk for alcohol dependence associates with alcohol consumption, social deprivation and some domains of cognitive ability in a large population‐based sample. These findings allow us to understand better the biological mechanisms underlying these traits and their associations. Cognitive ability may not only be a result of chronic alcohol consumption, but a pre‐disposing risk factor for the development of alcohol dependence, although longitudinal data are required to test this hypothesis. By understanding the relationship among alcohol dependence, social deprivation and cognitive ability, we may identify individuals at high risk to develop alcohol dependence and inform health interventions to reduce the burden of alcohol misuse on society. Thus, prospective evaluation of the findings reported here may create a basis for focused prevention efforts.