Whereas physical impairment is the main hallmark of frailty, evidence suggests that other dimensions, such as psychological, cognitive and social factors also contribute to this multidimensional condition. Cognition is now considered a relevant domain of frailty. Cognitive and physical frailty interact: cognitive problems and dementia are more prevalent in physically frail individuals, and those with cognitive impairment are more prone to become frail. Disentangling the relationship between cognition and frailty may lead to new intervention strategies for the prevention and treatment of both conditions. Both frailty and cognitive decline share common potential mechanisms. This review examines the relationship between frailty and cognitive decline and explores the role of vascular changes, hormones, vitamin D, inflammation, insulin resistance, and nutrition in the development of physical frailty and cognitive problems, as potential underlying mechanisms behind this link. Dual tasking studies may be a useful way to explore and understand the relation between cognitive and physical frailty. Further studies are needed to elucidate this complex relation to improve the outcomes of frailty.