Objective: to compare the functional capacity and cognitive ability of elderly women engaged in various forms of physical exercise. Methods: quantitative, cross-sectional, descriptive, observational and analytical study with 120 volunteers, divided into three groups of 40 elderly: water aerobics group, fitness center of the third age group and weight training group. Functional ability was assessed by functional evaluation Protocol of the Latin American Development Group for the Maturity and the cognitive ability was assessed using the Mini-Mental State Examination. Results: the functional capacity of elderly in the three modalities were classified as weak, showing no significant difference between groups (p = 0.082). Cognitive ability reached nearly maximum scores in the three modalities of exercise, without statistical significance (p = 0.062). Conclusion: functional capacity of elderly women is low and the type of exercise does not interfere with cognitive performance.