Early cognitive development is sensitive to multiple biological, social, familial, and psychological factors. However, discerning the underlying mechanistic pathways has proved to be challenging. Using data from 506 mother-child dyads from the prospective longitudinal birth-cohort of the INMA—INfancia y Medio Ambiente—(Environment and Childhood) Project, this study aimed to test how maternal SES influences early cognitive development, examining potential mediating factors, including maternal mental health, family context, and first nursery school attendance. Results indicate that the association of maternal mental health and SES on early cognitive development is fully mediated by the quality of the family context. Nursery attendance early in life also had a full mediation effect on maternal SES. These findings suggest that epidemiological studies should consider more than SES variables when studying environmental influences on early cognitive development. Policy implications are discussed in the current context of a global likelihood of economic crises and mental health challenges.