Jefferson County is part of the Mount Vernon Micropolitan Statistical Area.
As of the census of 2000, there were 40,045 people, 15,374 households, and 10,561 families residing in the county. The population density was 70 people per square mile (27/km²). There were 16,990 housing units at an average density of 30 per square mile (11/km²). The racial makeup of the county was 89.87% White, 7.83% Black or African American, 0.21% Native American, 0.47% Asian, 0.01% Pacific Islander, 0.45% from other races, and 1.16% from two or more races. 1.33% of the population were Hispanic or Latino of any race. 25.0% were of American, 20.5% German, 12.8% English and 9.6% Irish ancestry according to Census 2000. 97.5% spoke English and 1.5% Spanish as their first language.
There were 15,374 households out of which 31.1% had children under the age of 18 living with them, 55.3% were married couples living together, 9.9% had a female householder with no husband present, and 31.30% were non-families. 27.6% of all households were made up of individuals and 13.0% had someone living alone who was 65 years of age or older. The average household size was 2.44 persons and the average family size was 2.96 persons.
In the county the population was spread out with 24.2% under the age of 18, 8.8% from 18 to 24, 28.4% from 25 to 44, 23.3% from 45 to 64, and 15.3% who were 65 years of age or older. The median age was 38 years. For every 100 females there were 104.1 males. For every 100 females age 18 and over, there were 104.1 males.
The median income for a household in the county was $33,555 and the median income for a family was $41,141. Males had a median income of $34,089 versus $21,015 for females. The per capita income for the county was $16,644. About 9.1% of families and 12.30% of the population were below the poverty line, including 14.0% of those under age 18 and 11.8% of those age 65 or over.