Objectives This study compared the utility of corneal nerve measures with brain volumetry for predicting progression to dementia in individuals with mild cognitive impairment (MCI). Methods Participants with no cognitive impairment (NCI) and MCI underwent assessment of cognitive function, brain volumetry of thirteen brain structures, including the hippocampus and corneal confocal microscopy (CCM). Participants with MCI were followed up in the clinic to identify progression to dementia. Results Of 107 participants with MCI aged 68.4 ± 7.7 years, 33 (30.8%) progressed to dementia over 2.6‐years of follow‐up. Compared to participants with NCI (n = 12), participants who remained with MCI (n = 74) or progressed to dementia had lower corneal nerve measures (p < 0.0001). Progressors had lower corneal nerve measures, hippocampal, and whole brain volume (all p < 0.0001). However, CCM had a higher prognostic accuracy (72%–75% vs 68%–69%) for identifying individuals who progressed to dementia compared to hippocampus and whole brain volume. The adjusted odds ratio for progression to dementia was 6.1 (95% CI: 1.6–23.8) and 4.1 (95% CI: 1.2–14.2) higher with abnormal CCM measures, but was not significant for abnormal brain volume. Interpretation Abnormal CCM measures have a higher prognostic accuracy than brain volumetry for predicting progression from MCI to dementia. Further work is required to validate the predictive ability of CCM compared to other established biomarkers of dementia.