Background: This study aims to explore the mediating role of loneliness between depressive symptoms and cognitive frailty among older adults in the community. Methods: A total of 527 community-dwelling older adults aged ≥60 years were included in this cross-sectional study. A five-item geriatric depression scale was used to assess depression symptoms. Then, an eight-item University of California at Los Angeles Loneliness Scale was used to assess loneliness. Moreover, the FRAIL scale and Mini-Mental State Examination were used to assess cognitive frailty. Furthermore, regression and bootstrap analyses were used to explore the mediating role of loneliness in depression symptoms and cognitive frailty. Results: Loneliness mediates the association between depression symptoms and cognitive frailty (95% CI = 0.164~0.615), and after adjusting for loneliness, the direct effect is no longer significant (95% CI = −0.113~1.318, p = 0.099). Conclusions: Results show that the effect of cognitive frailty is not depression symptoms but loneliness. All levels of society (the government, medical institutions, and communities) need to pay more attention to the mental health of the older adults, screen for loneliness, and take timely intervention and treatment measures. They should also build an age-friendly society and promote active aging.