Understanding the causes of Alzheimer's disease and related dementias remains a challenge. Observational studies investigating dementia risk factors are limited by the pervasive issues of confounding, reverse causation and selection biases. Conducting randomised controlled trials for dementia prevention is often impractical due to the long prodromal phase and the inability to randomise many potential risk factors. In this essay, we introduce Mendelian randomisation as an alternative approach to examine factors that may prevent or delay Alzheimer's disease. Mendelian randomisation is a causal inference method that has successfully identified risk factors and treatments in various other fields. However, applying this method to dementia risk factors has yielded unexpected findings. Here, we consider five potential explanations and provide recommendations to enhance causal inference from Mendelian randomisation studies on dementia. By employing these strategies, we can better understand factors affecting dementia risk.