Cognitive frailty is the condition of health in elderly people, prior to dementia, which is characterized by the simultaneous presence of physical frailty and cognitive impairment. Advanced frailty can be prevented and treated through multimodal interventions, which include physical exercise, cognitive training, and a diet rich in antioxidant compounds and micronutrients. Nutritional deficits, neuroinflammation, and oxidative stress due to aging are involved in the pathophysiology of cognitive frailty. To reverse these situations, it is recommended to follow a healthy diet. The Mediterranean diet contains high amounts of omega-3 fatty acids, compounds which have an anti-inflammatory and neuroprotective effect, and also polyphenols and antioxidant micronutrients such as vitamins, zinc and selenium, necessary to combat oxidative damage. Unlike others, the Mediterranean diet includes the use of olive oil and the moderate consumption of wine, foods rich in oleic acid, hydroxytyrosol, and trans-resveratrol being, respectively, antioxidant, anti-inflammatory, and neuroprotective compounds.