Cholesterol is a risk factor for developing vascular pathologies, which is in turn an important risk factor for dementia. Previous studies linking lipids and dementia have yielded inconsistent results, which may be attributable to sex differences in the etiology of both vascular disease and dementia. The aim of this study was to evaluate the associations between lipids and incident dementia in 7053 community-dwelling elderly. Dementia was diagnosed at baseline, and 2, 4, and 7-year follow-up. Multivariate Cox models stratified by sex and history of vascular pathologies at baseline were adjusted for sociodemographic, mental and physical health variables, and genetic vulnerability. In men without vascular pathologies, an increased incidence of all-cause dementia but not Alzheimer's disease (AD) was associated with high triglyceride (TG) (HR = 1.55, 95% CI = 1.04-2.32, p = 0.03) and low HDL-cholesterol levels (HR = 1.49, 95% CI = 0.99-2.23, p = 0.05). In women without vascular pathologies, low TG levels were associated with a decreased risk of AD (HR = 0.65, 95% CI = 0.43-0.97, p = 0.03). A decreased risk was also found with high TG levels which may depend on genetic vulnerability to dyslipidemia related to APOA5. For both sexes, no significant associations were found between total- or LDL-cholesterol and dementia or AD. Low HDL-cholesterol and high TG levels may be risk factors of dementia in elderly men whereas low TG is associated with decreased incident AD in women. This data suggests a complex sex-specific etiology of vascular dementia and AD.