Introduction: In older US nursing home (NH) residents, there is limited research on the prevalence of physical frailty, its potential dynamic changes, and its association with cognitive impairment in older adults’ first 6 months of NH stay. Methods: Minimum Data Set (MDS) 3.0 is the national database on residents in US Medicare-/Medicaid-certified NHs. MDS 3.0 was used to identify older adults aged ≥65 years, newly admitted to NHs during January 1, 2014, and June 30, 2016, with life expectancy ≥6 months at admission and NH length of stay ≥6 months (N = 571,139). MDS 3.0 assessments at admission, 3 months, and 6 months were used. In each assessment, physical frailty was measured by FRAIL-NH (robust, prefrail, and frail) and cognitive impairment by Brief Interview for Mental Status and Cognitive Performance Scale (none/mild, moderate, and severe). Demographic characteristics and diagnosed conditions were measured at admission, while presence of pain and receipt of psychotropic medications were at each assessment. Distribution of physical frailty and its change over time by cognitive impairment were described. A nonproportional odds model was fitted with a generalized estimation equation to longitudinally examine the association between physical frailty and cognitive impairment, adjusting for demographic and clinical characteristics. Results: Around 60% of older residents were physically frail in the first 6 months. Improvement and worsening across physical frailty levels were observed. Particularly, in those who were prefrail at admission, 23% improved to robust by 3 months. At admission, 3 months, and 6 months, over 37% of older residents had severe cognitive impairment and about 70% of those with cognitive impairment were physically frail. At admission, older residents with moderate cognitive impairment were 35% more likely (adjusted odds ratio [aOR]: 1.35, 95% confidence interval [CI]: 1.33–1.37) and those with severe impairment were 74% more likely (aOR: 1.74, 95% CI: 1.72–1.77) to be frail than prefrail/robust, compared to those with none/mild impairment. The association between the 2 conditions remained positive and consistently increased over time. Discussion/Conclusion: Physical frailty was prevalent in NHs with potential to improve and was strongly associated with cognitive impairment. Physical frailty could be a modifiable target, and interventions may include efforts to address cognitive impairment.