Background: Myostatin has been proposed as a candidate biomarker for frailty and sarcopenia. However, the relationship of myostatin with these conditions remains inconclusive. Objective: To determine the association of serum myostatin concentration with body composition, physical fitness, physical activity level, and frailty in long-term nursing home residents. We also aimed to ascertain the effect of an exercise program on myostatin levels. Methods: We obtained study data on 112 participants from long-term nursing homes. Participants were randomly assigned to a control or an intervention group and performed a 6-month multicomponent exercise program. Serum myostatin levels were analyzed by ELISA. Assessments also included body composition (anthropometry and bioelectrical impedance), physical fitness (Senior Fitness Test), physical activity level (accelerometry), and frailty (Fried frailty criteria, Clinical Frailty Scale, and Tilburg frailty indicator). Results: The concentration of myostatin at baseline was positively correlated with: a leaner body composition (p < 0.05), and a higher number of steps per day and light and moderate-vigorous physical activity in women (p < 0.005); greater upper and lower limb strength, endurance, and poorer flexibility (p < 0.05) in men; and better performance (less time) in the 8-ft timed up-and-go test in both women (p < 0.01) and men (p < 0.005). We observed higher concentrations of serum myostatin in non-frail than in frail participants (p < 0.05). Additionally, we found that the implemented physical exercise intervention, which was effective to improve physical fitness, increased myostatin concentration in men (p < 0.05) but not in women. The improvements in physical condition were related with increases in serum myostatin only in men (p < 0.05–0.01). Conclusions: Higher serum levels of myostatin were found to be associated with better physical fitness. The improvements in physical fitness after the intervention were positively related to increases in myostatin concentrations in men. These results seem to rule out the idea that high serum myostatin levels are indicative of frailty in long-term nursing home residents. However, although the direction of association was opposite to that expected for the function of myostatin, the use of this protein as a biomarker for physical fitness, rather than frailty, merits further study.