Background <p>Depression exhibits a high prevalence among the elderly population, posing a significant burden on public health. Although extensive research confirms that physical activity can alleviate depressive symptoms, there is insufficient evidence regarding the chain-mediated role of sleep duration and cognitive function in this process. This study aims to investigate the chain-mediating effects of sleep duration and cognitive function in the association between physical activity and depressive symptoms in Chinese older adults.</p> Methods <p>Data were drawn from the 2018 China Health and Retirement Longitudinal Study (CHARLS), with 4,744 adults aged 60 and older meeting inclusion criteria. Using correlation analysis, one-way ANOVA, and chained mediation models (PROCESS macro model 6), we examined the direct and indirect effects of physical activity on depressive symptoms via sleep duration and cognitive function.</p> Results <p>(1) There was a significant correlation between physical activity, sleep duration, cognitive function, and depressive symptoms (<i>P</i> &lt; 0.01). (2) Sleep duration and cognitive function significantly mediated the association between physical activity and depressive symptoms. The three indirect pathways were physical activity → sleep duration → depressive symptoms (β = -0.111, 95% CI [-0.166, -0.061], 19.1% of total effect); physical activity → cognitive function → depressive symptoms (β = -0.173, 95% CI [-0.258, -0.088], 29.8%); and physical activity → sleep duration → cognitive function → depressive symptoms (β = -0.011, 95% CI [-0.019, -0.004], 1.9%).</p> Conclusion <p>Sleep duration and cognitive functioning act as chain mediators between physical activity and depressive symptoms in older adults, i.e., physical activity can improve sleep duration in order to enhance cognitive functioning and, in turn, improve depressive symptoms in older adults.</p>