As randomised trials are not always feasible or practical, observational studies remain crucial for addressing many causal questions in the dementia prevention field. Through a systematic search, we found that 84 (72%) of the 116 latest observational cohort studies that investigated factors hypothesised to reduce the risk of dementia (hearing aids, physical activity, antihypertensives, antidiabetics, and antidepressants) used a prevalent exposure design. The approach of using a prevalent exposure design, which compares dementia risk between individuals with and without prevalent exposure at the start of follow-up, has several limitations, including ill-defined interventions, selection biases, and challenges in adjusting for confounders. This Personal View discusses these limitations using physical activity as a case study and describes an alternative approach based on the target trial framework that can help to overcome such limitations. This approach aligns observational analyses with the design and analysis principles of randomised trials and can, thereby, improve the robustness and relevance of evidence for dementia prevention, which is the ultimate goal.