The study analyzed data from two prospective cohort studies where the frailty status was assessed using the frailty index (FI) in the categories robust, pre-frail and frail. Transitions in frailty were monitored between baseline and the second assessment, with dementia diagnosed by a physician. Robust participants who progressed to a pre-frail or frail state had an increased risk of dementia compared to the stably robust (HR = 1.78, 95% CI: 1.18–2.68, p = 0.006). Pre-frail participants who progressed to frailty showed a higher risk compared to stable pre-frail participants (HR = 1.97, 95% CI: 1.39–2.81, p < 0.001). Recovery from prefrail to robust did not significantly reduce the risk of dementia (HR = 1.24, 95% CI: 0.80–1.92, p = 0.342). Improvement from frail to prefrail or robust was also not associated with a significant difference from stable frail (HR = 0.94, 95% CI: 0.62–1.41, p = 0.754). Sensitivity analyzes confirmed the robustness of the main findings. Progression of frailty increases the risk of dementia, while recovery does not significantly reduce it.