The study aimed to compare cognitive performance, depressive symptoms, and the incidence of falls in Brazilian older women with and without a confirmed history of COVID-19. This cross-sectional study included 188 women (60–89 years), divided into two groups: one with a history of COVID-19 (n = 139), and one without any history of COVID-19 (n = 49). The instruments used were the Cognitive Telephone Screening Instrument (COGTEL) test battery, the Trail Making Test (TMT), the Geriatric Depression Scale (GDS-15), and the self-reported history of falls since the beginning of mandatory confinement. The higher the age, the higher the incidence of falls. The highest prevalence of falls (57.1%) occurred in the COVID-19 group (p = 0.001), the members of which also indicated a better cognitive performance in the COGTEL test (p = 0.017), TMT-B (p = 0.004), and ∆TMT (B-A) (p = 0.004). In turn, the depressive symptoms were more severe in the COVID-19 group (p < 0.001). We observed that COVID-19 infection without hospitalization did not affect the cognitive performance of older adult women. Future studies should be carried out to monitor the mental health of older adult Brazilian women. Moreover, regardless of their history of COVID-19, older adults should participate in a physical training program focused on preventing falls.