Background: This study examined the relationship of physical activity (PA) combined with lower-body muscle strength to late-life depression and cognitive impairment in 10,097 participants (6062 females) ≥ 65 years of age. Methods: Exposures were PA, sit-to-stand test (STST), and depressive symptoms. Outcome was cognitive performance. Results: Depressed individuals had an increased risk of mild cognitive impairment (MCI; odds ratio (OR), adjusted OR = 1.845 and 95% confidence interval (CI) = 1.580–2.154, p < 0.001) compared with non-depressed individuals. Individuals who had insufficient PA and a poor STST and either insufficient PA or a poor STST had an increased risk of MCI (adjusted OR = 1.329 and 95% CI = 1.209–1.46, p < 0.001 and adjusted OR = 2.822 and 95% CI = 2.488–3.200, p < 0001, respectively) compared with individuals who had sufficient PA and a good STST. A significant moderation effect of PA combined with lower-body muscle strength on the relationship between depression and cognitive function was observed (β = −1.3923; 95% CI = −2.1505 to −0.6341, p < 0.003). Conclusions: The negative effect of late-life depression on cognitive function was incremental in the order of sufficient PA and a good STST, insufficient PA or a poor STST, and insufficient PA and a poor STST.