Objective To explore the effectiveness of an exercise intervention program for older adults with cognitive frailty living in the integrated medical and elderly care institutions. Methods According to the Capability-Opportunity-Motivation-Behavior (COM-B) model and evidence summary of exercise in the elderly, an exercise intervention program for older adults with cognitive frailty living in the integrated medical and elderly care institutions was developed through two rounds of Delphi expert consultation. Then two integrated medical and elderly care institutions were selected and assigned to two groups. Older adults in one institution were treated as the control group (n=32) and were given routine daily living care and recreational and sports activities, their counterparts (n=32) living in the other institution additionally received the exercise intervention program for 12 weeks. Results Twenty-seven participants in both groups completed the study. There were significant differences in the scores of physical frailty, cognitive function, quality of life, anxiety, quality of sleep, and physical performance between the two groups immediately following the intervention (all P<0.05). Conclusion Implementation of exercise intervention program for older adults with cognitive frailty living in the integrated medical and elderly care institutions can effectively ameliorate their physical frailty status and anxiety, as well as enhance quality of sleep, cognitive function, physical performance, and quality of life.