This study aimed to investigate the moderating effect of frailty on the relationship between cognition and symptoms of depression in individuals aged ≥65 and to explore differences between four European regions (West, North, South, and East). A cross-sectional analysis was conducted with 29,094 participants (16,365 women) from 27 countries, aged ≥65 years, who responded to wave 8 of the SHARE project. The variables analysed were depression (12-item EURO-D scale), frailty, and a general cognition index (CogId). A higher CogId was associated with less depression. Western and Northern European countries indicated better cognitive performance, lower depression symptomology, and frailty scores than those in the South and East. A pre-frail and frail status was a significant moderator, increasing the association between depression and cognition in the East, South, North, and West regions, respectively. The interaction effects between CogId and frailty were found in the West and East regions. Comparatively, the moderating role of frailty in countries in the Western region differed significantly from those in the North. In turn, countries in the South and East differed from those in the North region. Frailty was a moderator of depression symptoms, increasing its association with cognition. Strategies to prevent frailty are important to reduce the burden of depression and cognitive deficits in Europe.