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Multiple studies have found Conscientiousness to be protective against dementia. The purpose of this study is to identify which specific aspects, or facets, of Conscientiousness are most protective against cognitive impairment and whether these associations are moderated by demographic factors and/or genetic risk. Health and Retirement Study participants were selected for analysis if they completed the facets of Conscientiousness measure, scored in the range of normal cognitive functioning at the baseline personality assessment, and had at least one follow-up assessment of cognition over the up to 6-year follow-up (N = 11 181). Cox regression was used to test for risk of incident dementia and risk of incident cognitive impairment not dementia (CIND). Over the follow-up, 278 participants developed dementia and 2186 participants developed CIND. The facet of responsibility had the strongest and most consistent association with dementia risk: every standard deviation increase in this facet was associated with a nearly 35% decreased risk of dementia; self-control and industriousness were also protective. Associations were generally similar when controlling for clinical, behavioral, and genetic risk factors. These three facets were also independent predictors of decreased risk of CIND. The present research indicates that individuals who see themselves as responsible, able to control their behavior, and hard workers are less likely to develop CIND or dementia and that these associations persist after accounting for some common clinical, behavioral, and genetic risk factors.