Ageing and diabetes are recognised as important risk factors for the development of cognitive deterioration. The aim was to analyse the effects of a walking-based training programme on cognitive deterioration and glycosylated haemoglobin (HbA1c) in older women with type 2 diabetes. This was a six-month experimental and longitudinal study with an experimental group (EG) (n = 57) and a control group (CG) (n = 52). All participants were diabetic with hypoglycaemic treatment. EG carried out a walking-based training program. After the training, we evaluated the diabetic state (HbA1c), cognitive functioning with the Mini-Mental State Examination (MMSE), cardiorespiratory fitness (VO2max) and body mass index (BMI). Results: EG obtained better results than CG in all the analysed variables. EG showed a significant improvement in the levels of HbA1c (−4.5%; p < 0.001), VO2max (+5.9%; p < 0.001) and BMI (−5.4%; p < 0.001); it also obtained increases in the scores of cognitive functioning, which were statistically significant in all dimensions, except for calculation (p = 0.384) and language (p = 0.168). Conclusion: The aerobic treatment produced significant improvements in the diabetic state and cognitive functioning in older women with type 2 diabetes.