The prevention of dementias, such as Alzheimer's disease (AD), is a growing public health concern, due to a lack of effective curative treatment options and a rising global prevalence. Various potential risk or preventive factors have been suggested by epidemiological research, including modifiable lifestyle factors such as diet. Current epidemiological data are in favour of a protective role of certain micronutrients (B vitamins related to homocysteine metabolism, the anti-oxidant vitamins C and E, flavonoids, polyunsatured omega-3 fatty acids, vitamin D) and macronutrients (fish) in the prevention of cognitive decline and dementia/AD. Some factors have been targeted by interventions tested in randomized controlled trials (RCTs), but many of the results are conflicting with observational evidence. Epidemiological analysis of the relations between nutrient consumption and cognitive decline is complex and it is highly unlikely that a single component plays a major role. In addition, since multiple factors across the life course influence brain function in late life, multidomain interventions might be more promising in the prevention of cognitive decline and dementia/AD. Designing such trials remains very challenging for researchers. The main objective of this paper is to review the epidemiologic data linking potential protective factors to cognitive decline or dementia/AD, focusing particularly on the roles of adiposity, caloric restriction, micro (group B vitamins related to homocysteine metabolism, the anti-oxidant vitamins C and E, flavonoids, polyunsatured omega-3 fatty acids, vitamin D) and macronutrients (fish). Limitations of the current data, divergence with results of interventional prevention studies and challenges for future research are discussed.