Observational and interventional studies suggest that participation in leisure activities may help protect against cognitive decline in older people. This study aimed to examine the association between participation in leisure activities and cognitive impairment in older adults in Colombia. Data for this study were derived from the Colombian National Survey of Aging (SABE 2015), a cross-sectional survey with a sample size of 23,694 older adults representing the total population (mean age, 70.8 years; 57.3% females). Cognitive impairment was classified as cognitive impairment without dementia (CIWD) and dementia, according to the revised version of the Folstein Mini-Mental State Examination and the Lawton and Brody functional scale. Leisure activities were evaluated using six items of a questionnaire. Sex-stratified multinomial regression models were used to analyze the association of leisure activities with CIWD and dementia after adjusting for educational attainment, literacy, and other potential confounders. In adjusted models for men, leisure activities in later life were associated with a decreased risk of CIWD (odds ratio [OR], 0.73; 95% confidence interval [CI], 0.68–0.78) and dementia (OR, 0,52; 95% CI, 0.48–0.58). For women, leisure activities in later life were associated with a decreased risk of CIWD (OR, 0.72; 95% CI, 0.66–0.78) and dementia (OR, 0.48; 95% CI, 0.43–0.53). The findings suggest that greater participation in leisure activities in later life may act as a protective factor against CIWD and dementia among older adults in Colombia, independent of educational attainment and literacy.