Population growth and physical inactivity have led to health and social consequences derived from chronic diseases and decreased quality of life in the elderly. Some research suggests that overweight in older people may not be associated with the negative effects on some health indicators. This study analysed the associations between Self-Perceived Health (SPH), Depression status, Pain Level, and Body Mass Index (BMI) in people over 70 years who are residents in Spain, with a final sample composed of 13,895 participants. A cross-sectional study using data from the European Health Surveys in Spain (EHIS2014 and 2020) and the National Health Survey (ENSE2017) was conducted. Dependency associations were observed between SPH, Depression Status, and Pain Level with BMI in the outcomes from the three surveys analysed (p < 0.001). Negative SPH, Depression Status, and Severe/Extreme Pain Degree prevalence were higher in the Underweight groups, being the lowest in Normal-weight and Overweight groups (p < 0.05). High levels of negative SPH, Depression, and Severe/Extreme Pain risks were found in the Underweight compared to the Normal-weight group, but not in Overweight ones. Overweight was not linked with an increased risk of the conditions analysed compared to the Normal-weight groups in older residents in Spain. The Underweight group presented the highest negative SPH prevalence, Depression, and Severe/Extreme Pain. Moreover, Obesity increased the negative SPH, Depression, and Pain Degree risks compared to the Normal-weight and Overweight groups in this population.