Background and aims: Only one cohort study exists on the incidence of the risk of malnutrition (RM) in older adults, though numerous cross-sectional reports, identified several risk factors associated with the prevalence and incidence of this condition. However, alterations in body composition and impaired physical performance as exposition variables of RM have not been explored. This study assessed the incidence of RM and determined its association with excess fat mass, low total lean tissue, gait speed, and handgrip strength as exposition variables for RM in community-dwelling older adults. Methods: This is a secondary analysis of older adults (≥60 years) derived from the study “Frailty, dynapenia, and sarcopenia in Mexican adults (FraDySMex)”, a prospective cohort project conducted from 2014 to 2019 in Mexico City. At baseline, volunteers underwent body composition analysis and physical performance tests. Several covariates were identified through comprehensive geriatric assessment. At baseline and follow-up, RM was assessed using the long form of the mini nutritional assessment (MNA-LF) scale. Associations between the exposition variables and RM were assessed by multiple logistic regression. Results: The cohort included 241 subjects. The average age was 75.6 ± 7.8 years, and 83.4% were women. The mean follow-up period was 4.1 years, during which 28.6% of subjects developed RM. This condition was less likely to occur in those with an excess fat mass, even after adjusting for several covariates. Regarding total lean tissue, the unadjusted model showed that RM was more likely to occur in men and women with a low TLT by the TLTI classification, compared to the normal group. However, after adjusting for several covariates (models 1 and 2), the association lost significance. Results on the association between gait speed and RM showed that this condition was also more likely to occur in subjects with low gait speed, according to both the unadjusted and adjusted models. Similar results were found for RM in relation to low handgrip strength; however, after adjusting for the associated covariates, models 1 and 2 no longer reached the level of significance. Conclusions: RM diagnosed by MNA-LF was significantly less likely to occur among subjects with excess fat mass, and a significant association emerged between low gait speed and RM after 4.1 years of follow-up in these community-dwelling older adults. These results confirm the association between some alterations of body composition and impaired physical performance with the risk of malnutrition and highlight that excess fat mass and low gait speed precede the risk of malnutrition, not vice versa.