Dementia is currently incurable, irreversible and a major cause of disability for the world's older population. The association between mental health difficulties, such as post-traumatic stress disorder (PTSD) and major depressive disorder (MDD), and dementia has a long history within the civilian population. Despite the increased importance of this link within the military veteran population, who suffer a greater propensity of mental health difficulties and consist largely of over 65s, attention is only recently being paid to the salience of such an association for this group. This paper aims to explore the relationship between PTSD and MDD with dementia within the military veteran population. A systematic review was conducted on articles from 1990 to July 2016 on MEDLINE, EMBASE, EBSCO and Web of Science electronic databases with an update conducted in February 2017. Six empirical studies were identified from the review, the majority of which originated from the USA. Five of the studies asserted that veterans with a diagnosis of either PTSD or MDD are at a significantly greater risk of developing dementia than 'healthy' controls. The final study, conducted in Australia, found only a small, but non-significant, correlation between earlier MDD and future dementia, but no concurrent correlation. While causality cannot be determined, it is likely that PTSD and depressive disorders are related to an increased risk of dementia in military veterans. Potential pathological explanations and risk factors are reviewed and the clinical and neuroscience implications of these findings are explored.