Background Neurocognitive impairments are prevalent among older people in China. It is more problematic among older people living with HIV. Objective This study aims to compare neurocognitive performance between older people living with HIV and HIV-negative controls, and to explore whether the association between HIV status and neurocognitive performance was mediated by depressive symptoms and level of physical activity. Methods A cross-sectional study was conducted in Yongzhou, China. All people living with HIV aged ≥50 years listed in the registry were invited. Frequency matching was used to sample HIV-negative controls from the general population according to the distribution of age, sex, and years of formal education of older people living with HIV. A total of 315 older people living with HIV and 350 HIV-negative controls completed the face-to-face interview and comprehensive neuropsychological assessment of seven domains (learning, memory, working memory, verbal fluency, processing speed, executive function, and motor skills). Results As compared to HIV-negative controls, older people living with HIV performed worse in global score and all seven domains (P<.05). HIV infection was associated with higher depressive symptoms (P<.001) and lower level of physical activity (P<.001). Depressive symptoms and physical activity were negatively correlated (P<.001). Depressive symptoms and level of physical activity mediated the association between HIV status and global z-score and four domain z-scores of neurocognitive performance (learning, memory, verbal fluency, and processing speed). Conclusions Change in mental health and physical activity after HIV infection may partially explain why older people living with HIV are more susceptible to neurocognitive impairment. Promoting mental health and physical activity are potential entry points to slow down the progress of neurocognitive impairment among older people living with HIV.