Background With the increase in the world’s aging population, there is a growing need to prevent and predict dementia among the general population. The availability of national time-series health examination data in South Korea provides an opportunity to use deep learning algorithm, an artificial intelligence technology, to expedite the analysis of mass and sequential data. Objective This study aimed to compare the discriminative accuracy between a time-series deep learning algorithm and conventional statistical methods to predict all-cause dementia and Alzheimer dementia using periodic health examination data. Methods Diagnostic codes in medical claims data from a South Korean national health examination cohort were used to identify individuals who developed dementia or Alzheimer dementia over a 10-year period. As a result, 479,845 and 465,081 individuals, who were aged 40 to 79 years and without all-cause dementia and Alzheimer dementia, respectively, were identified at baseline. The performance of the following 3 models was compared with predictions of which individuals would develop either type of dementia: Cox proportional hazards model using only baseline data (HR-B), Cox proportional hazards model using repeated measurements (HR-R), and deep learning model using repeated measurements (DL-R). Results The discrimination indices (95% CI) for the HR-B, HR-R, and DL-R models to predict all-cause dementia were 0.84 (0.83-0.85), 0.87 (0.86-0.88), and 0.90 (0.90-0.90), respectively, and those to predict Alzheimer dementia were 0.87 (0.86-0.88), 0.90 (0.88-0.91), and 0.91 (0.91-0.91), respectively. The DL-R model showed the best performance, followed by the HR-R model, in predicting both types of dementia. The DL-R model was superior to the HR-R model in all validation groups tested. Conclusions A deep learning algorithm using time-series data can be an accurate and cost-effective method to predict dementia. A combination of deep learning and proportional hazards models might help to enhance prevention strategies for dementia.