The association between socio-economic status (SES) and untreated hypertension varies according to a country's level of development and racial/ethnic group. We sought to confirm this variation in women from China and the United States (US) as well as to investigate the impact of SES on several mediating risk factors. We also investigate the extent to which SES explains racial/ethnic differences in untreated hypertension in the US. We used cross-sectional data from 1814 non-pregnant women in China (China Health and Nutrition Survey (CHNS), 1997) and 3266 non-pregnant women in the United States (National Health and Nutrition Examination Survey (NHANES III), 1988–1994) respectively. A variety of statistical modelling techniques was used to predict untreated hypertension as a function of several mediating factors and to simulate the impact of changes in SES. The age-adjusted prevalence of untreated hypertension was significantly higher (p<0.01) for low-income White and Black women compared to Mexican American or Chinese women. Untreated hypertension was not significantly associated with income or education in Mexican Americans or women in China. Obesity and light physical activity had the largest mediating effect on the association between SES and untreated hypertension for all racial/ethnic groups. However, this effect was not as strong as the proxy effect of income and education. SES did not completely explain racial/ethnic differences in hypertension in the US. While SES was more strongly associated with hypertension in Blacks than Whites, Blacks were still 1.97 (95% CI 1.47–2.64) times more likely to have untreated hypertension than Whites after adjusting for SES differences. The association between SES and untreated hypertension varied by country and racial/ethnic group. An important explanation for this variation was the differential effect of SES on mediating risk factors. SES disparities between Whites and Blacks in the US partly explain differences in the prevalence of untreated hypertension between these racial/ethnic groups.