The purpose of this study was to explore the relationship between depression, cognitive function, social activities and activities of daily living ( ADL ), and verify whether social activities and ADL have a chain mediating effect between depression and cognitive function. Using the data of the fourth phase of the China Health and Retirement Longitudinal Study ( CHARLS ), 7547 elderly samples were studied. Correlation analysis and Bootstrap method were used to analyze the data to test whether social activities and ADL played a chain mediating role between depression and cognitive function in the elderly. In this study, the direct effect of depression on the cognitive function of the elderly accounted for 36.85% of the total effect. The indirect effects of social activities and ADL on depression and cognitive function of the elderly accounted for 15.99% and 44.64% of the total effects, respectively. At the same time, the chain mediating effect of social activities and ADL was significant, accounting for 2.44% of the total effect. The effect of depression on the cognitive function of the elderly is achieved through social activities, ADL and the chain mediating effect of social activities and ADL.