Frailty is a common condition in older persons and has been described as a geriatric syndrome resulting from age-related cumulative declines across multiple physiologic systems, with impaired homeostatic reserve and a reduced capacity of the organism to resist stress. Therefore, frailty is considered as a state of high vulnerability for adverse health outcomes, such as disability, falls, hospitalization, institutionalization, and mortality. Regular physical activity has been shown to protect against diverse components of the frailty syndrome in men and women of all ages and frailty is not a contra-indication to physical activity, rather it may be one of the most important reasons to prescribe physical exercise. It has been recognized that physical activity can have an impact on different components of the frailty syndrome. This review will address the role of physical activity on the most relevant components of frailty syndrome, with specific reference to: (i) sarcopenia, as a condition which frequently overlaps with frailty; (ii) functional impairment, considering the role of physical inactivity as one of the strongest predictors of physical disability in elders; (iii) cognitive performance, including evidence on how exercise and physical activity decrease the risk of early cognitive decline and poor cognition in late life; and (iv) depression by reviewing the effect of exercise on improving mood and increasing positive well-being.