The ‘use it or lose it’ hypothesis of cognitive aging predicts that engagement in intellectual, social, and physical activities offers protective benefits from age-related cognitive decline and lowers dementia risk. Although this hypothesis has not yet been supported conclusively, there is some empirical evidence in favor of the proposal. However, a number of questions surrounding the relationship between activity participation and cognitive ability in older adulthood are not yet well answered. This mini-review identifies seven key methodological and theoretical issues that are critical to our understanding and eventual possible promotion of activity participation as a way to maintain cognitive well-being. These include the mechanisms involved, the optimal ways of assessing activity engagement, which cognitive domains receive the most benefit from activity engagement, the temporal nature and the directionality of the relationship, the influence of demographic variables such as age, gender, or education, and whether one activity domain offers the most benefit to cognition. The current knowledge on each of these issues is critically evaluated, including describing what we already know about the issue, and identifying potential difficulties and opportunities that may exist in finding an answer. More studies need to take on the challenge of specifically targeting these issues, as each is essential to moving the field forward.