Anaemia defined as a haemoglobin level <13 g/dl in men and <12 g/dl in women is common in older people and associated with numerous health consequences. The aim of this study was to systematically review all published data from the past 30 years that studied the association between anaemia and cognitive performance in people aged 65 years and over. An English and French Medline and Cochrane Library search ranging from 1979 to 2011 indexed under the Medical Subject Heading (MeSH) terms ‘haemoglobin’ or ‘anaemia’ combined with the terms ‘dementia’ or ‘cognition disorders’ or ‘memory disorders’ or ‘orientation’ or ‘executive functions’ or ‘attention’ or ‘brain’ or ‘neuropsychological tests’ was performed. Ninety-eight studies were selected. The following specific conditions were excluded: cancer, chronic kidney diseases, chronic heart disease and post-operative cognitive dysfunction. Five observational studies and six prospective cohort studies were included in the final analysis. According to the studies, the number of participants ranged from 302 to 2250 community-dwelling older people aged 55 years or over. Four studies considered the association between haemoglobin concentration and global cognitive functions, another three examined the association between haemoglobin concentration and the incidence of dementia, and four studies evaluated some specific aspects of cognition. A significant positive association was shown between anaemia and global cognitive decline as well as the incidence of dementia. A significant association was also shown between anaemia and executive functions. This systematic review shows a probable association between anaemia and cognitive performances, particularly with executive functions.