Individual health characteristics, namely, physical activity, smoking, and weight status, have a positive effect on cognitive function, especially during the aging process. However, fewer studies have evaluated the combined associations of these health characteristics on cognitive function among older adults, which was this study’s purpose. Data from the 1999–2002 National Health and Nutrition Examination Survey were used (N = 2,370 adults 60+ years). Clinical measures were assessed using the Digit Symbol Substitution Test (DSST), self-reported physical activity, and smoking status. Weight status was evaluated based on measured body mass index. Being a non-smoker [β = 2.44; 95% confidence interval (CI): −0.03–4.92; P = 0.05] and meeting the physical activity guidelines (β = 5.73; 95% CI: 4.34–7.12; P < 0.001) were independently associated with DSST. There was also an evidence of an additive association of these three health characteristics on cognitive function. The highest area under the receiver operating characteristic curve [area under the curve (AUC)] was observed among those who met physical activity guidelines (AUC = 0.59; 95% CI: 0.57–0.61) compared to smoking status (receiver operator characteristic = 0.51; 95% CI: 0.49–0.52) or weight status (AUC = 0.49; 95% CI: 0.47–0.51). Weight status and smoking are independently associated with cognitive function, and individuals with all three evaluated health characteristics (non-smoking, normal weight, and active) had the highest cognitive function.