Background: Diabetes mellitus (DM) is a diverse metabolic disorder that impacts cognitive function and balance. A person diagnosed with DM has a 1.5 times higher likelihood of developing cognitive impairment, and the link between mild cognitive impairment and balance problems has been observed particularly in situations where cognitive abilities are challenged, such as during dual-task activities. Thus, this study aims to find the effect of one such type of simultaneous training which focuses on both physical and cognitive aspects to improve balance and cognitive function. Objective: The purpose of this study was to find the effect of physical–cognitive training on diabetes-associated cognition and balance impairment. Methods: Forty participants who met the eligibility criteria were divided into two groups: the experimental group which underwent square-step training, while the control group received conventional therapy. Data was collected at the beginning and after 4 weeks of the study. The outcome measures included were the Montreal Cognitive Assessment, Time Up and Go, Five Times Sit to Stand, and Stand and Reach Test. Result: A paired t-test was used to analyze the scores of TUG, 5XSST, and SRT, while MoCA was assessed using the Wilcoxon test within the group analysis. There were statistically significant changes seen in all the variables in the experimental group, whereas MoCA was the only variable in the control group which did not show improvement. An independent t-test was used to analyze the scores of 777TUG, 5XSST, and SRT after 4 weeks of intervention and showed no significant difference in any of the variable. The score of MoCA was analyzed using Mann–Whitney U test which showed significant difference. Conclusions: This study substantiates the effectiveness of physical–cognitive training in improving cognitive function, balance, lower limb strength, and flexibility in middle-aged individuals with diabetes.