The purpose of this review was to update available knowledge on the relationship between adherence to the Mediterranean diet (MeDi) and cognitive decline, risk of dementia or Alzheimer's Disease (AD), and to analyse the reasons for some inconsistent results across studies. The traditional MeDi has been recognised by the United Nations Educational Scientific and Cultural Organisation as an Intangible Cultural Heritage of Humanity. This dietary pattern is characterised by a high consumption of plant foods (i.e. vegetables, fruits, legumes and cereals), a high intake of olive oil as the main source of fat, a moderate intake of fish, low-to-moderate intake of dairy products and low consumption of meat and poultry, with wine consumed in low-to-moderate amounts during meals. Beyond the well-known association between higher adherence to the MeDi and lower risk of mortality, in particular from CVD and cancer, new data from large epidemiological studies suggest a relationship between MeDi adherence and cognitive decline or risk of dementia. However, some inconsistent results have been found as well, even in Mediterranean countries. In this review, we analyse the reasons likely to explain these discrepancies, and propose that most of these differences are due to variations in the methodology used to assess MeDi adherence. We also discuss the possibility of residual confounding by lifestyle, that is, greater adherents to the MeDi also have a healthier lifestyle in general, which can favourably affect cognition. In conclusion, large-scale studies in various populations with common methodology are required before considering the MeDi as an optimal dietary strategy to prevent cognitive decline or dementia.