Cortisol dysregulation has been reported in dementia and depression. Cortisol levels and its associates were investigated among older people living at home and in nursing homes, in a cross-sectional study. A sample of 650 older people, from the community (home and nursing homes) and specialized care (memory clinics and old age psychiatry wards), mean age 76.8 (SD = 10.3) (dementia n = 319, depression, n = 154, dementia plus depression n = 53, and reference group n = 124), was included. Assessment included the Mini Mental State Examination (MMSE), Cornell scale for depression in dementia, activities of daily living scales, and salivary cortisol. Number of drugs was registered. The results showed that the cortisol ratio was highest among patients with dementia and co-morbid depression in comparison to those with either depression or dementia and the reference group. Characteristics significantly associated with cortisol levels were higher MMSE score (in patients with dementia and co-morbid depression), male gender (in people with dementia), and number of medications (in the reference group). We conclude that the cortisol ratio was highest among patients with dementia and co-morbid depression in comparison to those with either depression or dementia and the reference group. The association of cortisol level with MMSE score among patients with dementia and depression could further indicate that increased stress is related to cognitive function.