Introduction: Sex differences in dementia risk, and risk factor (RF) associations with dementia, remain uncertain across diverse ethno-regional groups. Methods: A total of 29,850 participants (58% women) from 21 cohorts across six continents were included in an individual participant data meta-analysis. Sex-specific hazard ratios (HRs), and women-to-men ratio of hazard ratios (RHRs) for associations between RFs and all-cause dementia were derived from mixed-effect Cox models. Results: Incident dementia occurred in 2089 (66% women) participants over 4.6 years (median). Women had higher dementia risk (HR, 1.12 [1.02, 1.23]) than men, particularly in low- and lower-middle-income economies. Associations between longer education and former alcohol use with dementia risk (RHR, 1.01 [1.00, 1.03] per year, and 0.55 [0.38, 0.79], respectively) were stronger for men than women; otherwise, there were no discernible sex differences in other RFs. Discussion: Dementia risk was higher in women than men, with possible variations by country-level income settings, but most RFs appear to work similarly in women and men.