Background: Sarcopenia is an age-related progressive, generalized skeletal muscle disorder involving the accelerated loss of muscle function and muscle mass. The aim of this study was to assess the complex relationship between sarcopenia, malnutrition, cognitive impairment, physical activity, and depression in the elderly, with the potential role of quality of life as a mediator in these associations. Methods: A cross-sectional study was conducted on a sample (n = 298) of elderly patients admitted to Special Hospital for Rehabilitation “Termal”, Vrdnik, Serbia. Sarcopenia, the risk for malnutrition, cognitive impairment, physical activity, quality of life, and depressive symptoms were measured by standardized instruments. Additional data included sociodemographic characteristics. Simultaneous assessment of the direct and indirect relationships of all determinants was performed by path analysis. Results: A total of 40% (n = 120) of the elderly were diagnosed with sarcopenia, and 42.6% had depression symptoms. The risk of malnutrition was present in 23.5%, cognitive impairment in 5.4%, and a low level of physical activity was reported in 26.2% of elderly participants. The mean reported quality of life measured by Sarcopenia and Quality of Life Questionnaire was 60 (on the scale ranging from 0 to 100; where a higher score reflects a higher quality of life). The best-fitted model (χ2/DF = 1.885, NFI = 0.987, CFI = 0.993, GFI = 0.997, RMSEA = 0.055) highlighted the mediating effect of quality of life between sarcopenia, malnutrition, cognitive impairment, lower level of physical activities and depression. According to the model, quality of life was a direct negative predictor of depressive symptoms in the elderly, while malnutrition positively affected depression. Conclusions: The presented path model may assist rehabilitation centers in developing strategies to screen for sarcopenia and risk of malnutrition, and promote physical activity in elderly, aiming to prevent their negative effects on mental health. For the elderly currently affected by sarcopenia, we consider regenerative medicine and stem cell therapy, which, in view of their etiology, could be a potential therapeutic strategy for sarcopenia.