Research indicates that life satisfaction declines with age, and cognitive abilities are gradually reduced—mainly attentional functioning and cognitive processing speed. Therefore, scientists seek to find protective factors and test possible intervention programs; moderately intensive physical activity stands out as particularly promising. In this context, we evaluated the influence of Nordic Walking training supported by vitamin D supplementation (as this nutrient is especially deficient in older people in Poland) on the cognitive and psychological functioning of elderly women. A total of 52 healthy elderly women took part in a Nordic Walking training program complemented by vitamin D supplementation. Cognitive functioning was assessed with the Trail Making Test and the D2 Test of Attention. Quality of life and severity of depressive symptoms were measured with the Short Form Health Survey and the Beck Depression Inventory 2. Significant improvements in all aspects of cognitive functioning was observed (p = 0.01–0.47). The study also showed a decrease in depressive symptoms (p = 0.026). Physical activity and adequate levels of vitamin D can be the key factors in maintaining self-reliance in old age. Involvement in Nordic Walking training, supported by vitamin D supplementation, can strengthen the cognitive functioning of older people—reflected in higher attentional capabilities, better executive functions, and improved cognitive processing speed.