Introduction: Evidence on sex differences in the risk for dementia has been mixed. The goal was to assess sex differences in the development of dementia, and in the effects of a lifestyle intervention. Methods: Two strategies were adopted, one using combined data from three large Nordic population-based cohort studies (n = 2289), adopting dementia as outcome, and 2-year multidomain lifestyle intervention (n = 1260), adopting cognitive change as outcome. Results: There was higher risk for dementia after age 80 years in women. The positive effects of the lifestyle intervention on cognition did not significantly differ between men and women. Sex-specific analyses suggested that different vascular, lifestyle, and psychosocial risk factors are important for women and men in mid- and late-life. Conclusion: Women had higher risk for dementia among the oldest individuals. Lifestyle interventions may be effectively implemented among older men and women.