BACKGROUND: Evidence suggests that lifestyle activities impact cognitive and mental health in older populations. However, how lifestyle factors are associated with one another, and which factors are most important for cognitive function and mental health has received comparatively little attention. DESIGN: Bayesian-Gaussian network analysis was used to investigate unique associations between mental activities (MA; i.e., activities involving cognitive engagement), global cognition, and depression at three time-points in a large sample of older adults (baseline, 2 years, and 4 years follow-up). SETTING: This study used longitudinal data from participants living in Australia and participating in the Sydney Memory and Ageing Study. PARTICIPANTS: The sample included 998 participants (55% female) aged between 70 and 90, without a diagnosis of dementia at baseline. MEASUREMENTS: Neuropsychological assessment of global cognition, self-reported depressive symptoms, and self-reported information about daily MA. RESULTS: Cognitive functioning was positively associated with playing tabletop games and using the internet in both sexes at all time-points. MA were differentially linked in men and women. Depression was not consistently associated with MA in men across the three time-points; women who visited artistic events consistently had lower depression scores. CONCLUSIONS: Engaging with tabletop games and using the internet was associated with better cognition in both sexes, however sex acted as a modifier for other associations. These findings are useful for future investigations that consider interactive associations between MA, cognition, and mental health in older adults, and their possible roles in promoting healthy aging.