This study aims to investigate the effects of dual-task physical–cognitive the training on body balance (BB), gait performance (GP), lower limb muscle strength (LEMS), and cognitive performance (CP) in a group of cognitively normal older adult women (n = 44; 66.20 ± 4.05 years). Of these, 22 were randomly allocated to the dual-task training (DT) group, and 22 participated in the control group (CG). Assessments were performed at baseline, after 12 weeks of intervention, and at the end of 12 weeks of follow-up, using the following instruments: Timed Up & Go (TUG), Timed Up & Go manual (TUGm), Timed Up & Go cognitive (TUGc), Balance Test (TEC), sit-to-stand test (STS), and verbal fluency test (VF). After 12 weeks of DT training, participants showed a significant time × group interaction in all motor assessments (BB, GP, LEMS), as well as in three cognitive tests (VF-grouping, VF-exchange, VF-total). No time–group interaction effect was indicated for the VF-category test. At all evaluation times, CG members maintained constant physical and cognitive performance. We conclude that 12 weeks of physical–cognitive DT training was effective in promoting BB, GP, and LEMS, as well as CP in cognitively normal older adult women, with lasting effects up to 12 weeks after the intervention.