Introduction We investigated and compared associations of objective estimates of sleep and 24‐hour activity rhythms using actigraphy with risk of dementia. Methods We included 1322 non‐demented participants from the prospective, population‐based Rotterdam Study cohort with valid actigraphy data (mean age 66 ± 8 years, 53% women), and followed them for up to 11.2 years to determine incident dementia. Results During follow‐up, 60 individuals developed dementia, of which 49 had Alzheimer's disease (AD). Poor sleep as indicated by longer sleep latency, wake after sleep onset, and time in bed and lower sleep efficiency, as well as an earlier “lights out” time, were associated with increased risk of dementia, especially AD. We found no associations of 24‐hour activity rhythms with dementia risk. Discussion Poor sleep, but not 24‐hour activity rhythm disturbance, is associated with increased risk of dementia. Actigraphy‐estimated nighttime wakefulness may be further targeted in etiologic or risk prediction studies.