The burden of cognitive disorders is huge and still growing, however the etiology and the degree of cognitive impairment vary considerably. Neurodegenerative and vascular mechanisms were most frequently assessed in patients with dementia. Recent studies have shown the possible involvement of triglycerides levels in cognitive function through putative mechanisms such as brain blood barrier dysfunction or amyloid metabolism imbalance, but not all research in the field found this association. Several clinical studies evaluated the relationship between different forms of cognitive decline and levels of serum triglycerides, independent of other cardiovascular risk factors. This review focuses on the role of triglycerides in cognitive decline, cerebral amyloidosis and vascular impairment. Considering that the management of hypertriglyceridemia benefits from lifestyle modification, diet, and specific drug therapy, future studies are requested to appraise the triglycerides–cognitive impairment relationship.