The aim was to analyze the effects of cardiorespiratory exercise and air pollution on cognition and cardiovascular markers in four groups of older women: the active/clean air group (AC), the active/polluted air group (AP), the sedentary/clean air group (SC), and the sedentary/polluted air group (SP). Active groups performed a training task based on progressive walking. Prior to and after the experiment, the following parameters were assessed: cognition, by Mini Mental State Examination (MMSE); maximum oxygen uptake (VO2max), estimated by the Six-Minute Walk Test (6mWT); heart rate (HR); and oxygen saturation (SpO2). There were significant differences (p < 0.05) between the AC and the SP in all the MMSE dimensions except “Registration”, and in all the physiological variables (VO2max, SpO2, HR). Aerobic exercise may be a protective factor against the effects that pollution have on cognition and on the mechanisms of oxygen transport.