Objectives: Prior work has examined the shape of the income-mortality association, but work has not compared gradients between countries. In this study, we focus on changes over time in the shape of income-mortality gradients for 4 Nordic countries during a period of rising income inequality. Context and time differentials in shape imply that the relationship between income and mortality is not fixed. Setting: Population-based cohort study of Denmark, Finland, Norway and Sweden. Participants: We collected data on individuals aged 25 or more in 1995 (n=12.98 million individuals, 0.84 million deaths) and 2003 (n=13.08 million individuals, 0.90 million deaths). We then examined the household size equivalised disposable income at the baseline year in relation to the rate of mortality in the following 5 years. Results: A steep income gradient in mortality in men and women across all age groups except the oldest old in Denmark, Finland, Norway and Sweden. From the 1990s to 2000s mortality dropped, but generally more so in the upper part of the income distribution than in the lower part. As a consequence, the shape of the income gradient in mortality changed. The shift in the shape of the association was similar in all 4 countries. Conclusions: A non-linear gradient exists between income and mortality in most cases and because of a more rapid mortality decline among those with high income the income gradient has become steeper over time.