1) Background: Cognitive frailty (CF) is the simultaneous presence of physical frailty and cognitive impairment with an increased risk of dementia. Considering that the risk factors of CF are mostly elucidated from cross-sectional studies, we conducted a community-based longitudinal study to determine the incidence and the predictors of CF among Malaysian older adults.; (2) Methods: Out of 490 older adults participating in the Malaysian Towards Useful Aging (TUA) study, 282 were successfully followed-up at five-years for an analysis of the CF incidence. CF was defined as a comorbid physical frailty (>1 Fried criteria) and mild cognitive impairment (Petersen criteria). A comprehensive interview-based questionnaire was administered for sociodemographic information, cognitive function, physical function, dietary intake, psychosocial, and biochemical indices. Univariate analyses were performed for each variable, followed by a regression analysis to identify the predictors of CF that accounted for confounding effects between the studied factors; (3) Results: The incidence Int.rate of CF was 7.1 per 100 person-years. Advancing age (OR=1.12, 95% CI:1.04-1.21, p < 0.05), depression (OR=1.20, 95% CI:1.05-1.37, p < 0.05), decreased processing speed, assessed by a lower digit symbol score (OR=0.67, 95%CI:0.0.56-0.80, p < 0.05), decreased functional mobility measured using Timed-Up-and-Go (TUG) (OR=1.23, 95% CI:1.04-1.46, p < 0.05), low vitamin D intake (OR:0.36, 95% CI:0.14-0.93, p < 0.05) and physical frailty (OR=2.16, 95% CI:1.02-4.58, p < 0.05) were predictors for CF incidence; and (4) Conclusions: Our study results could be used as an initial reference for future studies to formulate effective preventive management and intervention strategies to decelerate CF development among older adults.