Background: High-risk alcohol use is an established modifiable risk factor for dementia. However, prior reviews have not addressed sex differences in alcohol-related dementia risk. In this systematic review, we take a sex-specific perspective towards the alcohol-dementia link, taking into account the age of dementia onset. Methods: We searched electronic databases for original cohort or case–control studies investigating the association between alcohol use and dementia. Two restrictions were considered: First, studies had to report results stratified by sex. Second, given the fact that the age at dementia onset seems to affect the alcohol-dementia link, studies were required to distinguish between early-onset and late-onset dementia (cut-off: 65 years). Additionally, the contribution of alcohol to dementia incidence was quantified for a set of 33 European countries for the year 2019. Results: We reviewed 3,157 reports, of which 7 publications were finally included and summarised narratively. A lower dementia risk when drinking alcohol infrequent or at moderate levels was found in men (three studies) and women (four studies). High-risk use and alcohol use disorders increased the risk of mild cognitive impairment and dementia, particularly early-onset dementia. Estimating the alcohol-attributable share of incident dementia cases revealed that 3.2% and 7.8% of incident dementia cases were estimated to be attributable to high-risk alcohol use (at least 24 g of pure alcohol per day) in 45-to-64-year-old women and men, respectively. Conclusions: Research to date has paid little attention to the sex-specific link of alcohol and dementia. In the absence of sex-specific research, the established recommendations on high-risk alcohol use should be employed to communicate the alcohol-attributable dementia risk.