Objective It remains unclear whether or not anxiety increases the risk of dementia in people with mild cognitive impairment (MCI). The aim of this systematic review and meta‐analysis was to investigate the risk of dementia among people with MCI and anxiety compared with those with MCI and no anxiety. Methods The hazard ratio of conversion to dementia in people with anxiety and MCI was compared with those without anxiety and was calculated using a generic inverse variance method with fixed effect models. Results Eleven studies from the English and Chinese databases were included, seven of which were included in the meta‐analysis. The pooled hazard ratio of conversion to dementia was 1.18 95% CI [1.07, 1.31] (p = 0.002) in the group of MCI plus anxiety compared with those without anxiety. Conclusion The results suggest that anxiety increases the risk of progression to dementia in people with MCI. Future interventions targeting anxiety management in vulnerable people with MCI may reduce the risk of dementia. Copyright © 2017 John Wiley & Sons, Ltd.