Background <p>To investigate the independent and combined associations of hearing loss and depression with cognitive function among older adults and to analyze the differences by sex.</p> Methods <p>A cross-sectional analysis was conducted using 2018 data from the China Health and Retirement Longitudinal Study (CHARLS), including 2,894 participants aged ≥ 60 years. A composite variable based on self-reported hearing and depressive symptoms categorized participants into six groups. Weighted logistic regression assessed associations with cognitive function. Interaction terms and sex-stratified analyses were applied to examine sex differences.</p> Results <p>Poor hearing (OR = 2.07, 95% CI: 1.51–2.83) and depression (OR = 2.02, 95% CI: 1.58–2.58) were each significantly associated with cognitive impairment. Compared with the group with good hearing and no depression, participants in the fair hearing with depression group (OR = 2.11, 95% CI: 1.46–3.06) and the poor hearing with depression group (OR = 4.78, 95% CI: 3.19–7.16) showed significantly higher risks of cognitive impairment, with a stronger association observed in the latter. Interaction analysis revealed significant heterogeneity by sex (<i>P</i> for interaction in Model 4 = 0.020). In sex-stratified analysis, the associations were stronger among males: fair hearing with depression (OR = 2.29, 95% CI: 1.35–3.89) and poor hearing with depression (OR = 5.44, 95% CI: 3.11–9.52). Among females, the corresponding ORs were 2.25 (95% CI: 1.34–3.78, <i>P</i> = 0.002) and 4.99 (95% CI: 2.80–8.90, <i>P</i> &lt; 0.001), respectively.</p> Conclusion <p>The combination of hearing loss and depression is strongly associated with cognitive impairment in older adults, with significant heterogeneity across sex groups. The association is particularly stronger among males, suggesting the importance of early identification and targeted intervention in high-risk populations.</p>