There is renewed interest in whether sex differences in dementia risk exist, and what influence social and biological factors have. To review evidence from the Cognitive Function and Ageing Studies (CFAS), a multi-center population-representative cohort study in the UK; focusing on dementia and cognition, incorporating findings on participants' health and social circumstances. After identifying all CFAS publications, the results of all sex-stratified primary analyses of CFAS data were narratively reviewed. Of 337 publications, 94 report results by sex (including null findings), which are summarized by theme: dementia epidemiology, cognition, mental health, health expectancy, social context and biological resource (including neuropathology). Where differences are found they most commonly favor men; however, greater mortality in men may confound associations with age-related outcomes. This 'survival bias' may explain findings of greater risk of dementia and faster cognitive decline in women. Age-specific dementia incidence was similar between sexes, although reduced incidence across study generations was more pronounced in men. Mood disorders were more prevalent in women, but adjusting for disability and deprivation attenuated the association. Prominent findings from other cohorts that women have more Alzheimer's disease pathology and greater risk of dementia from the Apolipoprotein E ɛ4 allele were not observed, warranting further investigation. The 'male-female health-survival paradox' is demonstrated whereby women live longer but with more comorbidity and disability. Examining why health expectancies changed differently over two decades for each sex (interacting with deprivation) may inform population interventions to improve cognitive, mental and physical health in later life.