Cognitive decline presents individual and societal challenges, underscoring the importance of identifying risk factors to inform interventions for older adults. This cross-sectional study examined how physical activity (PA), perceived stress, and social support were related to cognitive function, with mild behavioral impairment (MBI) as a mediator, among 410 Thai older adults. Structural equation model revealed that perceived stress was associated with increased MBI (p < .001), which was directly related to cognitive function (p < .05). Higher social support was associated with lower MBI (p < .05), while moderate-to-vigorous PA was related to reduced MBI (p < .001) and improved cognitive function (p < .001). MBI mediated the associations of perceived stress (indirect effect = −0.244) and moderate-to-vigorous PA (indirect effect = 0.08) with cognitive function. Perceived stress–MBI relationship was stronger in participants with chronic diseases (∆χ2 = 4.236; p = 0.025). Findings support developing interventions to mitigate MBI, with input from health care professionals.