BackgroundCognitive frailty describes the co‐occurrence of cognitive impairment and physical frailty and is classified into reversible and irreversible phenotypes. Data on the impact of COVID‐19 pandemic imposed lockdowns, locally known as the Movement Control Order (MCO), on the psychological status of cognitively frail older adults remain scarce. Therefore, this study aimed to determine the relationship between depression, anxiety, stress and cognitive frailty among older adults during the MCO.MethodParticipants aged above 60 years from three ageing cohorts in Malaysia were interviewed virtually. The Fatigue, Resistance, Ambulation, Illness and Loss of Weight scale, blind Montreal Cognitive Assessment, 15‐item Geriatric Depression Scale, anxiety subscale of Depression, Anxiety and Stress Scale and four‐item Perceived Stress Scale measured frailty, mild cognitive impairment (MCI), depression, anxiety and stress, respectively.ResultsCognitive frailty data were available for 870 participants, age (mean ± SD) = 73.44 ± 6.32 years and 55.6% were women. Fifty‐seven (6.6%) were robust, 24 (2.8%) had MCI, 451 (51.8%) were pre‐frail, 164 (18.9%) were pre‐frail+MCI, 119 (13.7%) were frail and 55 (6.3%) were frail+MCI. There were significant differences in depression and anxiety scores between the controlled MCO and recovery MCO. Using multinomial logistic regression, pre‐frail (mean difference (95% confidence interval, CI) = 1.16 (0.932, 1.337), frail (1.49 (1.235, 1.803) and frail+MCI (1.49 (1.225, 1.822)) groups had significantly higher depression scores, frail (1.19 (1.030, 1.373)) and frail+MCI (1.24 (1.065, 1.439)) had significantly higher anxiety scores and pre‐frail (1.50 (1.285, 1.761)), frail (1.74 (1.469, 2.062)) and frail+MCI (1.81 (1.508, 2.165)) had significantly higher stress scores upon adjustments for the potential confounders. The MCO was a potential confounder in the relationship between depression and prefrail+MCI (1.08 (0.898, 1.340)).ConclusionFrail individuals with or without MCI had significantly higher depression, anxiety and stress than those who were robust. Increased depression and stress were also observed in the pre‐frail group. Interventions to address psychological issues in older adults during the COVID‐19 pandemic could target prefrail and frail individuals and need further evaluation.