We examined whether vision impairment (VI) and hearing impairment (HI) and dual sensory impairment (DSI) affect cognitive performance and whether depression mediates that effect. We examined 55,340 participants from the Survey of Health, Ageing and Retirement in Europe, which assessed 32,325 participants in 2011 (baseline, Time 1), 2015 (follow up, Time 2), sociodemographic data and health factors, self-reported VI, HI, and DSI at baseline, depression, and cognitive performance after four years. A multiple mediator model was tested using bootstrapping and resampling. At baseline, 22.9% had  VI, 10.2% HI, and 10.4% had DSI. We found a significant negative association between VI (b =-0.023, p=0.001) and DSI (b =-0.083, p = 0.001) and cognitive performance; both were also associated with depression, which was linked with poor cognition. VI or DSI among older adults are associated with poor cognitive function directly and indirectly by increasing depression symptoms.