Mild cognitive impairment (MCI) often co-exists with mood problems, and both cognitive functioning and mood are known to be linked with health. This study aims to investigate how health, mood, and cognitive impairment interact. Health is often assessed using a single proxy measure, but the use of a range of measures can provide a more informative picture and allows for combination into a comprehensive measure of health. We report an analysis of data from the Cognitive Function and Ageing Study Wales (CFAS Wales, N = 3,173), in which structured interviews with older people captured measures of cognition, mood, and health. Each measure of health was assessed independently in relation to cognition and mood, and then all measures were combined to form a latent health variable and tested using structural equation modeling (SEM). SEM confirmed the association between health and cognition, with depression acting as a mediator. All measures of health were individually associated with levels of anxiety and depression. Participants reporting mood problems were less likely to engage in physical activity and more likely to report poor or fair health, have more comorbid health conditions, use more services, and experience difficulties with instrumental activities of daily living. Perceived health was associated with cognitive status; participants with MCI were more likely to report fair or poor health than participants who were cognitively unimpaired. Careful intervention and encouragement to maintain healthy lifestyles as people age could help to reduce the risk of both mood problems and cognitive decline.