Aging is commonly associated with emotional, physical, and cognitive changes, with the latter, particularly affecting executive functioning. Further, such changes may interact. For instance, depressive symptomatology is a known risk factor for developing cognitive deficits, especially at older ages. In contrast, an active lifestyle, reflected in high cardiorespiratory fitness (CRF) levels, has proven to protect against adverse effects on cognition across the adult lifespan. Hence, this study aimed to investigate the relationships between depressive symptomatology, CRF, and cognition during critical developmental stages, namely in young adults (YA), when cognitive abilities are at their peak, and in older adults (OA), when they may start to decline. Eighty-one OA with ages between 60 and 89 years (M = 70.46; SD = 7.18) and 77 YA with ages between 18 and 34 years (M = 22.54; SD = 3.72) went through (i) a sociodemographic interview, (ii) an emotional assessment, (iii) a battery of cognitive tests, and (iv) a physical evaluation assessing CRF levels, visceral fat and body-mass index. Results showed that OA exhibited lower general cognitive performance, inhibitory control, cognitive flexibility, memory, and CRF. Depressive symptoms and anxiety were not different among groups, with CRF mediating the relationship between depressive symptoms and cognition in the OA group. The present study provides valuable insights into the interplay between emotional, physical, and cognitive well-being. Additionally, it calls attention to how lifestyle factors can play a protective role against the adverse effects that depressive symptoms have on cognition, particularly at older ages.