Abstract Background Sex differences in major cardiovascular risk factors for incident (fatal or non-fatal) all-cause dementia were assessed in the UK Biobank. The effects of these risk factors on all-cause dementia were explored by age and socioeconomic status (SES). Methods Cox proportional hazards models were used to estimate hazard ratios (HRs) and women-to-men ratio of HRs (RHR) with 95% confidence intervals (CIs) for systolic blood pressure (SBP) and diastolic blood pressure (DBP), smoking, diabetes, adiposity, stroke, SES and lipids with dementia. Poisson regression was used to estimate the sex-specific incidence rate of dementia for these risk factors. Results 502,226 individuals in midlife (54.4% women, mean age 56.5 years) with no prevalent dementia were included in the analyses. Over 11.8 years (median), 4068 participants (45.9% women) developed dementia. The crude incidence rates were 5.88 [95% CI 5.62–6.16] for women and 8.42 [8.07–8.78] for men, per 10,000 person-years. Sex was associated with the risk of dementia, where the risk was lower in women than men (HR = 0.83 [0.77–0.89]). Current smoking, diabetes, high adiposity, prior stroke and low SES were associated with a greater risk of dementia, similarly in women and men. The relationship between blood pressure (BP) and dementia was U-shaped in men but had a dose-response relationship in women: the HR for SBP per 20 mmHg was 1.08 [1.02–1.13] in women and 0.98 [0.93–1.03] in men. This sex difference was not affected by the use of antihypertensive medication at baseline. The sex difference in the effect of raised BP was consistent for dementia subtypes (vascular dementia and Alzheimer’s disease). Conclusions Several mid-life cardiovascular risk factors were associated with dementia similarly in women and men, but not raised BP. Future bespoke BP-lowering trials are necessary to understand its role in restricting cognitive decline and to clarify any sex difference.