Dementia is a syndrome characterized by a progressive deterioration of cognitive and physical functions. The aim of this systematic review was to investigate the effects of high-intensity exercise training (HIT) programs on cognitive and mental health, physical performance, activities of daily living (ADLs) and quality of life (QoL) in people with dementia. A systematic literature search for randomized controlled trials was performed until July 2019. We calculated mean difference (MD) or standardized MD (SMD) and the 95% confidence interval (CI), and assessed heterogeneity using I2 statistic. Nine studies from three large-scale research projects which were based on the high-intensity functional exercise (HIFE) program incorporating strength, balance and mobility exercises of the lower limbs, including 456 participants (85.5 ± 7.0 years), were considered. There was an overall good study quality (mean PEDro score = 7.6 ± 0.7). Compared to seated control activities, strength and balance HIT resulted in statistically significant but small positive effects on balance performance (MD = 2.31, 95% CI = 0.44–4.17, p = 0.02; I2 = 73%) and on the abilities to independently perform ADLs (SMD = 0.28, 95% CI = 0.12–0.44, p = 0.0006; I2 = 0%). No differences were found in cognitive function, depressive symptoms and QoL. The qualitative analyses yielded sporadic beneficial results (mobility, psychological well-being and apathetic behaviour) in favour of HIT. There is only limited evidence for an intensity-related dose–response relationship. Further well-designed studies are needed to identify the best exercise type for different types and stages of dementia.