Background Thoroughly understanding the temporal associations between cognitive and functional dimensions along the dementia process is fundamental to define preventive measures likely to delay the disease’s onset. This work aimed to finely describe the trajectories of cognitive and functional declines, and assess their dynamic bidirectional relationships among subjects at different stages of the dementia process. Methods We leveraged extensive repeated data of cognition and functional dependency from the French prospective COGICARE study, designed to better characterize the natural history of cognitive and functional declines around dementia diagnosis. Cognition was measured by the Mini-Mental State Examination, the Isaacs Set Test for verbal fluency, the Benton Visual Retention Test for visuo-spatial memory, and Trail Making Test Part B for executive functioning. Functional dependency was measured by basic and instrumental activities of daily living. The study included 102 cognitively normal, 123 mildly cognitively impaired, and 72 dementia cases with a median of 5 repeated visits over up to 57 months. We used a dynamic causal model which addresses the two essential issues in temporal associations assessment: focusing on intra-individual change and accounting for time. Results Better cognitive abilities were associated with lower subsequent decline of the functional level among the three clinical stages with an intensification over time but no reciprocity of the association whatever the clinical status. Conclusion This work confirms that the progressive functional dependency could be induced by cognitive impairment. Subjects identified as early as possible with clinically significant cognitive impairments could benefit from preventive measures before the deterioration of activities of daily living and the appearance of dementia clinical signs. Supplementary Information The online version contains supplementary material available at 10.1186/s13195-021-00887-4.