Objective To explore the mechanism of leisure activities between cognitive frailty and depression of the elderly in the community so as to provide scientific basis for the prevention and intervention of depression in them. Methods From December 2020 to March 2021, convenience sampling was used to select 315 elderly people in a community in Shihezi City, Xinjiang Uygur Automomous Region. The leisure activities questionnaire, FRAIL scale, Montreal cognitive assessment scale and depression scale were used to conduct a questionnaire survey. SPSS statistics 25.0 was used to perform the statistical analysis. Stepwise regression analysis was employed to determine the effect of leisure activities on the relationship between cognitive frailty and depression in the elderly. Results Among the 315 elderly in the community, 33 elderly people (10.48%) developed cognitive frailty, with a score of leisure activities of (31.72±4.37) points and a depression score of (2.89±2.43) points. Cognitive frailty was positively correlated with depression scores (r=0.371, P＜0.01), and cognitive frailty (r=-0.401, P＜0.01) and depression scores (r=-0.487, P＜0.01) were negatively correlated with score of leisure activities. Leisure activities played a partially mediating role between cognitive frailty and depression, and the mediating effect accounted for 33.88% of the total effect. Conclusion Leisure activities play a partial mediating effect between cognitive frailty and depression of the elderly in the community. Attention should be paid to cognitive frailty and leisure activities of the elderly in the community to reduce the occurrence of depression.