This study investigated the effects of an 8-week Square-Stepping Exercise (SSE) program on lower-extremity muscle function and cognitive function in pre-frail older women. Sixty pre-frail older women aged 65 years and older were assigned to either an exercise group (n = 30) or a control group (n = 30). The SSE program was performed twice weekly for 60 min over 8 weeks. Functional mobility was assessed using the Time Up and Go (TUG) test, balance using the Berg Balance Scale (BBS), lower-extremity muscle strength using the 30 s Chair Stand Test, and cognitive function using the Mini-Mental State Examination (MMSE). Measurements were obtained at baseline, week 4, and week 8. Significant group × time interactions were observed for TUG (p < 0.001), lower-extremity muscle strength (p < 0.05), and MMSE (p < 0.001). The exercise group showed significant improvements in TUG, BBS, muscle strength, and MMSE values, whereas the control group showed no significant changes except for a slight change in TUG. TUG was significantly correlated with balance, muscle strength, and cognitive function. These findings suggest that an 8-week SSE program may improve selected physical function measures and global cognitive status, as assessed by the MMSE, in pre-frail older women.