With the accelerating global trend of population aging, health issues among the elderly have garnered increasing attention. Cognitive frailty and depressive symptoms, are common health concerns in this population, significantly impacting mental health and quality of life, and are closely linked to a range of adverse health outcomes. This article provides an updated review of recent advances in research on depressive symptoms in the elderly with cognitive frailty, focusing on clinical epidemiology, shared pathophysiological mechanisms, and key influencing factors. The aim is to offer robust theoretical foundations and practical guidance for the optimization of elderly health services and policy development, and ultimately achieve the goals of healthy aging and improvement of quality of life for the elderly.