Advancing age is the focus of recent studies on familial and sporadic Alzheimer's disease (AD), suggesting a prolonged pre-clinical phase several decades before the onset of dementia symptoms. Influencing some age-related conditions, such as frailty, may have an impact on the prevention of late-life cognitive disorders. Frailty reflects a nonspecific state of vulnerability and a multi-system physiological change with increased risk for adverse health outcomes in older age. In this systematic review, frailty indexes based on a deficit accumulation model were associated with late life cognitive impairment and decline, incident dementia, and AD. Physical frailty constructs were associated with late-life cognitive impairment and decline, incident AD and mild cognitive impairment, vascular dementia, non-AD dementias, and AD pathology in older persons with and without dementia, thus also proposing cognitive frailty as a new clinical condition with co-existing physical frailty and cognitive impairment in non-demented older subjects. Considering both physical frailty and cognitive impairment as a single complex phenotype may be central in the prevention of dementia and its subtypes with secondary preventive trials on cognitive frail older subjects. The mechanisms underlying the cognitive-frailty link are multi-factorial, and vascular, inflammatory, nutritional, and metabolic influences may be of major relevance. There is a critical need for randomized controlled trials of intervention investigating the role of nutrition and/or physical exercise on cognitive frail subjects with the progression to dementia as primary outcome. These preventive trials and larger longitudinal population-based studies targeting cognitive outcomes could be useful in further understanding the cognitive-frailty interplay in older age.