There is currently no cure for dementia and its prevention is considered to be crucial. The aim is to analyse the association between risk factors and dementia, and how this varies according to age and sex. This cross-sectional study includes 1,048,956 people aged 65 and over. Data were obtained from the SIDIAP pseudonymised clinical database. The response variable was dementia and cases were identified using a validated algorithm. Exposure to the following risk factors was assessed: smoking, coronary heart disease, cerebrovascular disease, heart failure, peripheral arterial disease, alcoholism, high blood pressure, hyperlipidaemia, diabetes, hyperthyroidism, Parkinson's disease, depressive disorder and rurality. Logistic regression models were estimated to assess the association between risk factors and dementia, and they were stratified by age, sex and both jointly. The association between a medical history of cerebrovascular disease, Parkinson, depressive disorder or hyperthyroidism and dementia was more pronounced in men. The inverse association between coronary heart disease, heart failure or smoking and dementia was significant only in women. A stronger association was observed in younger age groups for most risk factors, but hypertension, coronary heart disease, heart failure or smoking were negatively associated among the older age groups. Sex and age both condition the association between risk factors and dementia. We recommend promoting effective control of cardiovascular risk factors in order to prevent dementia.