It has been increasingly recognized that late-life physical activity has the potential to benefit cognitive function in older adults. However, the mechanism through which physical activity is able to affect cognitive function is still equivocal. It may be due to the lack of empirical study using a proper research design and necessary statistical techniques to elucidate the complex relationships among physical activity, mediators and cognition. Therefore, this study aimed to explore the issues regarding the mediators of physical activity effects on cognition in the elderly. First, the theoretical model of physical activity and its mediators effects on cognition was introduced. Then, the issues regarding appropriate research designs in mediation analysis were discussed. Finally, advice with regard to how to choose a suitable statistical technique to analyze mediation effect was also provided. The study was to address these issues and provided a brief review. Findings and suggestions for future promotion on this topic were proposed.