Background. Sleep and physical activity are both important for cognition. However, few cognitive function studies include comprehensive measurement of both sleep and physical activity. The purpose of this study was to examine the independent and interactive associations of sleep and physical activity in relation to cognitive function in older women. Methods. A subset of 121 women from the Healthy Women Study, mean age 73.3 ± 1.7 years, wore an actigraphy sleep monitor, physical activity accelerometer, and kept sleep and physical activity diaries for 7 consecutive days. Executive function was measured with the Digit Symbol Substitution Test and the Trail Making Test B. Verbal fluency was assessed with a word generation task. Results. In adjusted models, greater actigraphy-assessed sleep efficiency was associated with more correct responses on the Digit Symbol Substitution Test (β = 0.35, SE = 0.15, p < 0.02). Sleep was not associated with verbal fluency. A significant interaction (p < 0.05) was observed between accelerometer-assessed physical activity and actigraphy-assessed sleep efficiency. Specifically, lower sleep efficiency was associated with poorer performance on both the Digit Symbol Substitution Test and the Trail Making Test B among women with low levels of physical activity but not among women with high levels of physical activity. Conclusions. Our findings suggest that greater levels of physical activity may attenuate the negative impact of poor sleep on executive function in older women, with the clearest effects observed using direct measurements of sleep and physical activity. © The Author 2014.