The potential of early interventions for dementia has increased interest in cognitive impairments less severe than dementia. However, predictors of the trajectory from intact cognition to dementia have not yet been clearly identified. The purpose of this study was to determine whether known risk factors for dementia increased the risk of mild cognitive impairments or progression from mild cognitive impairments to dementia. A polytomous logistic regression model was used, with parameters governing transitions within transient states (intact cognition, mild cognitive impairments, global impairment) estimated separately from parameters governing the transition from transient to absorbing state (dementia or death). Analyses were based on seven annual examinations (1991–2002) of 470 Nun Study participants aged ≥75 years at baseline and living in the United States. Odds of developing dementia increased with age primarily for those with low educational levels. In these women, presence of an apolipoprotein E gene *E4 allele increased the odds more than fourfold by age 95 years. Age, education, and the apolipoprotein E gene were all significantly associated with mild cognitive impairments. Only age, however, was associated with progression to dementia. Thus, risk factors for dementia may operate primarily by predisposing individuals to develop mild cognitive impairments; subsequent progression to dementia then depends on only time and competing mortality.