Alterations of oxysterols and gut microbiota have been recognized as indicators affecting mild cognitive impairment (MCI) and sarcopenia, respectively, whereas their association with co-dysfunction has not been investigated. In this study, a total of 1035 individuals were divided into Control ( = 264), MCI ( = 435), and MCI with possible sarcopenia (MPS, = 336) groups. Cognition and muscle indexes, serum oxysterols, and gut microbiota were measured. Spearman's rank coefficients were calculated to determine their correlations. Performances of global and multidimensional cognitive tests was successively worse in the Control, MCI, and MPS groups. Longer duration of five-time chair stand test, lower 6-meter walk speed, and handgrip strength were observed in the MPS group, along with increased 27-hydroxycholesterol (27-OHC) and 5α,6α-epoxycholesterol and decreased 5α-Cholest-8(14)-ene-3β,15α-diol (15-HC). Higher concentrations of amyloid precursor protein (APP), neurofilament, and C-terminal agrin fragment (CAF) were discovered in the MCI and MPS groups. The α-diversity of gut microbiota in the MCI and MPS group was remarkably decreased, followed by a shifted abundance of microbial taxa, such as Alistipes and Rikenellaceae. Multiple significant correlations were found between cognition and muscle indexes and with oxysterols. Our study indicates that oxysterols and gut microbiota are prominently involved in the co-dysfunction of cognition and muscle.