The Short Functional Geriatric Evaluation (SFGE) is a multidimensional and short questionnaire to assess biopsychosocial frailty in older adults. This paper aims to clarify the latent factors of SFGE. Data were collected from January 2016 to December 2020 from 8800 community-dwelling older adults participating in the “Long Live the Elderly!” program. Social operators administered the questionnaire through phone calls. Exploratory factor analysis (EFA) was carried out to identify the quality of the structure of the SFGE. Principal component analysis was also performed. According to the SFGE score, 37.7% of our sample comprised robust, 24.0% prefrail, 29.3% frail, and 9.0% very frail individuals. Using the EFA, we identified three main factors: psychophysical frailty, the need for social and economic support, and the lack of social relationships. The Kaiser–Meyer–Olkin measure of sampling adequacy was 0.792, and Bartlett’s test of sphericity had a statistically significant result (p-value < 0.001). The three constructs that emerged explain the multidimensionality of biopsychosocial frailty. The SFGE score, 40% of which is social questions, underlines the crucial relevance of the social domain in determining the risk of adverse health outcomes in community-dwelling older adults.