The current study sought to determine the influence of initial sleep quality and body mass index on the cognitive and mood outcomes of a community-based cardio-dance exercise program. Thirty-two older African Americans who participated in a 5-month cardio-dance exercise program were propensity-matched to 32 no-contact controls. Participants completed neuropsychological tests of attention, executive function, and memory and a self-reported depression measure at baseline and post-test. Among exercise participants, we observed significant improvements in depression (baseline = 6.16 ± 5.54, post-test = 4.66 ± 4.89, [Formula: see text], p = .009) and attention (baseline = 40.53 ± 14.01, post-test = 36.63 ± 13.29, [Formula: see text], p = .009) relative to controls. Improvements in executive function and attention were most pronounced among exercise participants with poor sleep quality (baseline = 7.71 ± 1.25, post-test = 8.29 ± 2.06, [Formula: see text], p = .04) and with obesity (baseline = 38.05 ± 12.78, post-test = 35.67 ± 13.82, [Formula: see text], p = .001), respectively. This study provides novel evidence that exercise has the potential to improve depression in older African Americans. For those with poor sleep quality or obesity, exercise can also improve some cognitive outcomes.