The 34-year-old had stated his desire to return to Scunthorpe, his hometown club and where he began his career, but has signed a two-year deal at the Railywaymen.
He is a free agent after being released by Championship side Cardiff City in the summer.
Cox has had spells with Aston Villa, who he joined from the Iron in February 1991, Middlesbrough, Bolton Wanderers and Watford.