Background: A wide range of conditions, including mixed depressive symptoms, hyperactivity, cognitive impairment (CI) might be expressions of Bipolar Spectrum Disorder (BSD) according to the neo-Kraepelinian perspective, even in advanced age. CI, which has a high prevalence in the elderly population, when it occurs in comorbidity with depression further hinders therapy response and functional ability. The present study aims to explore risk factors associated with CI in elderly individuals experiencing a depressive episode during lockdown a period marked by significant stressors and rhythm disruption. Methods: A case-control study analyzed data from a previous RCT (secondary analyses) on elderly individuals living at home, assessing depressive symptoms, cognitive performance, hyperactivity, and hypertension before (T0) and during lockdown (T1). Results: Participants with lower pre-pandemic cognitive performance were more prone to lockdown depression compared to those with higher baseline function (F = 6.074; p = 0.016). Among those experiencing lockdown depression without prior depression, those with low cognitive performance were more prevalent than the control group without depression (OR = 11.8; p = 0.015). Conclusion: This study highlights a potentially vulnerable subgroup within the elderly population that requires targeted interventions and support during stressful events. Future research should explore the underlying mechanisms linking cognitive decline and depression in older adults, particularly those with a possible bipolar spectrum predisposition.