Objective: To analyze the association between physical fitness, cognitive function, and depressive symptoms among older adults in long-term care facilities (LTCFs). Methods: Seventy-six institutionalized male and female elderly individuals (65 years and older) living in LTCFs participated of this study. Physical fitness (aerobic capacity and strength), cognitive functions (global cognition, short-term and working and semantic memories, and executive function), and depressive symptoms were assessed. Linear regression and contingency analyses were performed. Significance was accepted at p-values ≤ 0.05. Results: Aerobic capacity predicted 32% of variance in global cognition (p < 0.01) and 25% of variance in semantic fluency/executive function (p < 0.01). Low levels of upper limb strength, lower limb strength, and aerobic capacity were associated with semantic fluency/executive function (OR = 1.38, p = 0.01, OR = 1.26, p = 0.03, and OR = 1.07, p = 0.01, respectively) and depressive symptoms (OR = 1.06, p < 0.01). Conclusion: Poor physical fitness is associated with cognition and depressive symptoms in institutionalized older adults. Low levels of strength and aerobic fitness increase the odds of presenting with impaired semantic fluency and executive function, possibly denoting an increased risk of developing dementia.