Achieving a high quality of life in older adults can be difficult if they have limited physical function. The aims of this study were to evaluate the relationship between baseline values and variations in body composition, fitness, and nutritional status on health-related quality of life (HRQoL) and to describe the effects of a 6-month multicomponent training (MCT) programme and a 4-month detraining period on HRQoL. A total of 106 participants with limited physical function were included in this study (age: 80.8 ± 5.9 years; 74 females) and were divided into two groups: control (CON) and intervention (TRAIN). HRQoL was measured using the EQ-5D-3L questionnaire and a visual analogue scale (EQ-VAS). Information on body composition, physical fitness, Mediterranean diet adherence, and nutritional status were obtained. Healthier baseline values for body composition, fitness and nutritional status were associated with better HRQoL (explaining 23.7–55.4%). The TRAIN group showed increased HRQoL during this 6-month MCT, showing group-by-time interaction (p < 0.05) and a deleterious effect of detraining. Changes in weight, arm strength, and aerobic capacity contributed to explaining 36% of the HRQoL changes obtained with MCT (all p < 0.05). This MCT improved HRQoL in older adults with limited physical function. However, HRQoL returned to baseline values after detraining. This study highlights the importance of performing ongoing programs in this population.