Background: Atrial fibrillation (AF) is associated with cognitive decline, with anticoagulated subjects potentially having a reduced risk compared with non-anticoagulated subjects. However, whether non-vitamin K antagonist oral anticoagulants (NOACs) may reduce the risk of dementia compared with vitamin K antagonists (VKAs) is unclear yet. Therefore, the risk of dementia was compared between AF subjects on NOACs versus VKAs. Methods: AF subjects initiating anticoagulation between 2013 and 2019 were identified in Belgian nationwide data. Inverse probability of treatment weighted Cox regression was used to investigate cognitive outcomes. Results: Among 237,012 AF subjects (310,850 person-years (PYs)), NOAC use was associated with a significantly lower risk of dementia (adjusted hazard ratio (aHR) 0.91, 95% confidence interval (CI) (0.85–0.98)) compared with VKAs. A trend towards a lower risk of vascular dementia (aHR 0.89, 95% CI (0.76–1.04)) and significantly lower risk of other/unspecified dementia (aHR 0.91, 95% CI (0.84–0.99)) were observed with NOACs compared with VKAs, whereas the risk of Alzheimer’s disease was similar (aHR 0.99, 95% CI (0.88–1.11)). Apixaban (aHR 0.91, 95% CI (0.83–0.99)) and edoxaban (aHR 0.79, 95% CI (0.63–0.99)) were associated with significantly lower risks of dementia compared with VKAs, while risks were not significantly different with dabigatran (aHR 1.02, 95% CI (0.93–1.12)) and rivaroxaban (aHR 0.97, 95% CI (0.90–1.05)). Comparable risks of dementia were observed between individual NOACs, except for significantly lower risks of dementia (aHR 0.93, 95% CI (0.87–0.98)) and other/unspecified dementia (aHR 0.90 (0.84–0.97)) with apixaban compared with rivaroxaban. Conclusion: NOACs were associated with a significantly lower risk of dementia compared with VKAs, likely driven by apixaban and edoxaban use.