Background and Purpose The aim of this study was to investigate the effects of multicomponent exercise on cognitive function, depression, and quality of life in elderly individuals. Methods This study prospectively recruited 605 participants, and constructed an exercise pyramid comprising even distributions of daily physical activities, aerobic exercise, musclestrengthening exercise, flexibility exercise, balance exercise, and activities that subjects could perform while sitting down. The exercise program was divided into six stages according to the participant's level of frailty. The 12-week exercise program intervention was conducted once yearly. Results The exercise regimen was followed by 402 of the 605 enrolled participants, giving a dropout rate of 33.6%. The 27-month exercise program was completed by 60 participants. The scores for the Mini Mental State Examination for dementia screening (MMSE-DS), short form of the Geriatric Depression Scale, World Health Organization Quality of Life Assessment (WHOQOL-BREF), International Physical Activity Questionnaire (IPAQ), fear of falling, handgrip strength, and walking speed were improved after the exercise intervention. The analysis of frailty revealed that participants in the frail group showed greater improvements for the MMSE-DS, WHOQOL-BREF, IPAQ, fear of falling, handgrip strength, and walking speed. Conclusions Individually customized, multicomponent exercise programs lead to improved levels of cognitive function, depression, and quality of life, especially among those who are more frail.