Background: Physical activity has been associated with better cognitive function and better sleep quality. Yet, whether the beneficial effect of physical activity on cognitive function can be explained by an indirect pathway involving better sleep quality is unclear. Objective: To investigate whether sleep quality mediates the association between physical activity and cognitive function in adults 50 years of age or older. Methods: 86,541 community-dwelling European adults were included in the study. Physical activity and sleep quality were self-reported. Indicators of cognitive function (immediate recall, delayed recall, verbal fluency) were assessed using objective tests. All measures were collected six times between 2004 and 2017. The mediation was tested using multilevel mediation analyses. Results: Results showed that self-reported physical activity was associated with better self-reported sleep quality, which was associated with better performance in all three indicators of cognitive function, demonstrating an indirect effect of physical activity on cognitive function through sleep quality. The mediating effect of sleep quality accounted for 0.41%, 1.46%, and 8.88% of the total association of physical activity with verbal fluency, immediate recall, and delayed recall, respectively. Conclusion: These findings suggest that self-reported sleep quality partly mediates the association between self-reported physical activity and cognitive function. These results need to be confirmed by device-based data of physical activity and sleep quality.