The ageing process is associated with vulnerabilities, such as cognitive decline. Physical activity and exercise are key for preserving cognitive health in older age. This systematic review aims to analyse the effects of physical fitness programs on healthy older adults’ cognitive functions. An electronic search was performed in the PubMed, Web of Science, and Scopus databases. It included observational and experimental studies published between February 2017 and March 2023. Of the 1922 studies identified, 38 met the inclusion criteria. The findings show the positive effects of physical training on cognitive function in older adults. The most examined cognitive domains were executive function, memory function, and global cognition. Aerobic training prevailed, followed by resistance strength training and exergames. There was high variability in the characteristics of the protocols. The average length of interventions was 3–6 months; the frequency varied in the range of 1–4-times a week and 30–90 min sessions. The findings of this systematic review emphasise that physical fitness programs positively improve the specific domains of cognitive function in healthy older adults. These results can contribute to planning future interventions to improve the mental health of the older population and strengthen the development of policies for healthy ageing.