Exercise training is beneficial for cognition even in frail older adults and in those with low mobility. Animals and humans studies have demonstrated that aerobic exercise may have neuroprotective and neurorestorative effects. The rationale of combining aerobic and progressive resistance training as a multimodal exercise intervention is supported by research that has revealed potential beneficial effects on insulin-like growth factor-1, insulin sensitivity, and anti-inflammatory and brain-derived neurotrophic factor pathways, which are related to both sarcopenia and cognitive decline. Multimodal exercise interventions have shown positive effects on muscle/lean mass, cognition and brain volume. In addition, vitamin D deficiency has been linked to cognitive dysfunction, dementia and mobility decline. Besides its very well-known effects on muscle and bone physiology, vitamin D is considered a neurosteroid hormone which exhibits neuroprotective attributes through anti-oxidative mechanisms, neuronal calcium regulation, immunomodulation, enhanced nerve conduction and detoxification mechanisms. Compelling evidence from animal models and epidemiological studies supports a potential beneficial role for vitamin D on cognitive function. We will review the available evidence supporting that combining vitamin D supplementation with physical exercise will have a synergistic effect in improving or stabilizing cognitive function.