This study aims to examine the effects of 12 weeks of physical-cognitive dual-task training on cognition, depression, sleep quality, and quality of life in older 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 activities of the education control group (CG). Assessments were performed at baseline, at the end of 12 weeks of intervention, and after 12 weeks of follow-up using the following instruments: Trail Making Test parts A and B, ΔTMT (B-A), Stroop test parts A, B, C, and ΔStroop (C-B), Geriatric Depression Scale (GDS), sleep quality (PSQI), quality of life (SF-36). The results showed a positive and significant time-group interaction for two cognitive domains (TMT and Stroop). No time-group interaction effect was indicated for depression and sleep quality perception. There was a positive and significant interaction effect between time and group for three SF-36 subcategories (physical function, physical role, and general health). Our training protocol was not able to improve depressive symptoms and sleep quality. On the other hand, DT training was able to promote the performance of executive functions and the physical and mental component summary of the quality of life with lasting effects of up to 12 weeks after the intervention.