The aim of this study was to study the effects of a resistance training programme on Maximal Dynamic Strength (MDS) and muscle morphology of the upper limbs (UL) and lower limbs (LL), as well as to analyse their association with cognition, in a population of older women. The study had a duration of 24 months and a total of 93 Chilean older women participated. The participants were divided into two groups: the Physical Activity Group (PAG, n = 45, age (X ± SD) 77.93 ± 3.54 years), and the Sedentary Group (SG, n = 48, age (X ± SD) 77.71 ± 3.41 years). The PAG carried out a muscle strength training routine twice per week. The following variables were evaluated: muscle function through maximal dynamic strength (1RM), muscle morphology through arm and calf circumference (AC and CC, respectively), and cognition (Mini Mental State Examination: MMSE). The results show that the SG recorded significant decreases (percent changes; p < 0.05) in the analysed variables: MMSE (−3.5%), MDS in UL (−3.3%), MDS in LL (−4.1%), AC (−4.5%), CC (−4.1%), and BMI (−3.1%). However, the PAG improved significantly in all the analysed variables except in BMI: MMSE (3.9%), MDS in UL (3.6%), MDS in LL (3.5%), AC (1.8%), and CC (2.5%). Moreover, there was a significant association (p < 0.05) between the changes in the muscle strength variables and the changes in cognition level. Therefore, it can be concluded that a two-year muscle strength training programme (load intensity between 30–55% 1RM) in older women improves Maximal Dynamic Strength in UL and LL, as well as muscle mass in arms and calves. Furthermore, it can be asserted that the changes in muscle strength levels could predict the changes in the levels of cognition in older women.