Pre-frailty is a transitional stage between health and frailty. Previous studies have demonstrated that individuals with pre-frailty experience declines in cognitive and gait performances compared with healthy individuals. However, the basic neural mechanism underlying this needs to be clarified. In this cross-sectional study, twenty-one healthy older adults and fifteen with pre-frailty underwent three conditions, including a single cognitive task (SC), single walking task (SW), and dual-task (DT), while cortical hemodynamic reactions were measured using functional near-infrared spectroscopy (fNIRS). The prefrail group (PG) showed a significantly lower activation of the left dorsolateral prefrontal cortex (L-DLPFC) than the healthy group (HG) when performing SC (p < 0.05). The PG showed a significantly lower Timed Up and Go test and step speed than the HG during SW (p < 0.05). The coefficient of variation (CV) of the step length of the PG was significantly higher than that of the HG when performing DT (p < 0.05). No significant correlation in cerebral cortex activation and gait parameters in the HG when performing SW and DT was noted (p > 0.05). Participants of the PG with a higher oxygenated area in the left anterior prefrontal cortex (L-APFC) had a lower step frequency during SW (r = −0.533, p = 0.041), and so did the following indicators of the PG during DT: L-APFC and step speed (r = −0.557, p = 0.031); right anterior prefrontal cortex and step speed (r = −0.610, p = 0.016); left motor cortex and step speed (r = −0.674, p = 0.006); step frequency (r = −0.656, p = 0.008); and step length (r = −0.535, p = 0.040). The negative correlations between the cerebral cortex and gait parameters of the PG indicated a neural compensatory effect of pre-frailty. Therefore, older adults with pre-frailty promote prefrontal activation to compensate for the impaired sensorimotor systems.