OBJECTIVE - Physical activity (PA) is associated with a decreased incidence of dementia, but much of the evidence comes from short follow-ups prone to reverse causation. This meta-analysis investigates the effect of study length on the association. -- DESIGN - A systematic review and meta-analysis. Pooled effect sizes, dose–response analysis and funnel plots were used to synthesise the results. -- DATA SOURCES - CINAHL (last search 19 October 2021), PsycInfo, Scopus, PubMed, Web of Science (21 October 2021) and SPORTDiscus (26 October 2021). -- ELIGIBILITY CRITERIA - Studies of adults with a prospective follow-up of at least 1 year, a valid cognitive measure or cohort in mid-life at baseline and an estimate of the association between baseline PA and follow-up all-cause dementia, Alzheimer’s disease or vascular dementia were included (n=58). -- RESULTS - PA was associated with a decreased risk of all-cause dementia (pooled relative risk 0.80, 95% CI 0.77 to 0.84, n=257 983), Alzheimer’s disease (0.86, 95% CI 0.80 to 0.93, n=128 261) and vascular dementia (0.79, 95% CI 0.66 to 0.95, n=33 870), even in longer follow-ups (≥20 years) for all-cause dementia and Alzheimer’s disease. Neither baseline age, follow-up length nor study quality significantly moderated the associations. Dose–response meta-analyses revealed significant linear, spline and quadratic trends within estimates for all-cause dementia incidence, but only a significant spline trend for Alzheimer’s disease. Funnel plots showed possible publication bias for all-cause dementia and Alzheimer’s disease. -- CONCLUSION - PA was associated with lower incidence of all-cause dementia and Alzheimer’s disease, even in longer follow-ups, supporting PA as a modifiable protective lifestyle factor, even after reducing the effects of reverse causation.