The number of people with dementia has increased dramatically with global ageing. Nevertheless, the pathogeneses of these diseases are not sufficiently understood. The present study aims to analyse the relationship between psychological stress in midlife and the development of dementia in late-life. A representative sample of females (n = 1462) aged 38–60 years were examined in 1968–69 and re-examined in 1974–75, 1980–81, 1992–93 and 2000–03. Psychological stress was rated according to a standardized question in 1968, 1974 and 1980. Dementia was diagnosed according to Diagnostic and Statistical Manual of Mental Disorders criteria based on information from neuropsychiatric examinations, informant interviews, hospital records and registry data. During the 35-year follow-up, 161 females developed dementia (105 Alzheimer’s disease, 40 vascular dementia and 16 other dementias). We found that the risk of dementia (hazard ratios, 95% confidence intervals) was increased in females reporting frequent/constant stress in 1968 (1.60, 1.10–2.34), in 1974 (1.65, 1.12–2.41) and in 1980 (1.60, 1.01–2.52). Frequent/constant stress reported in 1968 and 1974 was associated with Alzheimer’s disease. Reporting stress at one, two or three examinations was related to a sequentially higher dementia risk. Compared to females reporting no stress, hazard ratios (95% confidence intervals) for incident dementia were 1.10 (0.71–1.71) for females reporting frequent/constant stress at one examination, 1.73 (1.01–2.95) for those reporting stress at two examinations and 2.51 (1.33–4.77) at three examinations. To conclude, we found an association between psychological stress in middle-aged women and development of dementia, especially Alzheimer’s disease. More studies are needed to confirm our findings and to study potential neurobiological mechanisms of these associations.