Background: Psychological distress is potentially linked to the risk of dementia through neurologic and cardiovascular mechanisms. Vital exhaustion (VE) is a mental state of psychological distress, which could be a risk factor for dementia. Objective:To investigate whether VE is a risk factor for dementia in later life. Methods:We used data from 6,807 participants attending the third survey of the Copenhagen City Heart Study in 1991–1994. VE was assessed by 17 symptoms (score: 0–17) from the Maastricht Questionnaire. Information on dementia was obtained from national registers. Risk time for dementia was counted from five years after VE assessment for participants > 55 years at the time of VE assessment. For younger participants, risk time for dementia was counted from the year they turned 60 years and onwards. Participants were followed until 2016. We used Poisson regression to calculate incidence rate ratios (IRR) and their 95% confidence intervals (CI). Results:During an average follow-up of 10 years, 872 participants were registered with dementia. We found a dose-response relation between the number of VE symptoms and the incidence of dementia. For every additional VE symptom, the dementia incidence increased by 2% (IRR = 1.024; 95% CI: 1.004–1.043). Adjustment for socio-demographic and health-related factors did not change the results substantially. Neither did stratification by age, sex, educational level, and marital status. Conclusion:We found evidence that VE is a risk factor for dementia. Our sensitivity analyses supported that this association was not only due to VE being a potential prodromal sign of dementia.