The recent availability of longitudinal data on the possible association of different lifestyles with dementia and Alzheimer's disease (AD) allow some preliminary conclusions on this topic. This review systematically analyses the published longitudinal studies exploring the effect of social network, physical leisure, and non-physical activity on cognition and dementia and then summarises the current evidence taking into account the limitations of the studies and the biological plausibility. For all three lifestyle components (social, mental, and physical), a beneficial effect on cognition and a protective effect against dementia are suggested. The three components seem to have common pathways, rather than specific mechanisms, which might converge within three major aetiological hypotheses for dementia and AD: the cognitive reserve hypothesis, the vascular hypothesis, and the stress hypothesis. Taking into account the accumulated evidence and the biological plausibility of these hypotheses, we conclude that an active and socially integrated lifestyle in late life protects against dementia and AD. Further research is necessary to better define the mechanisms of these associations and better delineate preventive and therapeutic strategies.