Objective: This study aims to assess the relationship that frailty has with nutritional status and functional risk factors in community-dwelling older adults. Methods: Cross-sectional study in community-dwelling older people, independent for walking and without impaired cognition. Frailty was assessed by Fried criteria. Nutritional status was analyzed by the Mini Nutritional Assessment Short Form (MNA-SF), biochemical markers (albumin, total proteins, cholesterol, lymphocytes, and hemoglobin); and anthropometric parameters (body mass index [BMI], body fat percentage, handgrip, and perimeters). A comprehensive geriatric assessment analyzed other risk factors: functionality, cognition, falls, comorbidity, polypharmacy, physical activity, and quality of life (QoL). Results: We included 564 elderly people with a mean age of 76.05 (standard deviation 3.97) years; 63.1% (n = 356) were women, and 83.9% (n = 473) were prefrail, and frail. The sample presented high functionality and a nutritional status with a predominance of overweight and obesity. Factors associated with frailty (R2 = 0.43) were age over 75 years (odds ratio [OR] 3.31, 95% confidence interval [CI] 1.76, 6.21; p < 0.001), female gender (OR 2.37, 95% CI 1.24, 4.52; p = 0.009), anemia (OR 2.45, 95% CI 1.19, 5.02; p = 0.015), falls (OR 1.94, 95% CI 1.12, 3.25; p = 0.016) and the fear of falling (OR 4.01: 95% CI 1.76, 9.16; p = 0.001). Performing more than 3 weekly hours of physical activity was found to be a protective factor (OR 0.23, 95% CI 0.15, 0.35; p < 0.001). Conclusions: The relationship between frailty and malnutrition in functionally independent community-dwelling older people is unclear. More studies are needed to know what nutritional markers are related to frailty, cognition, and functionality in order to discriminate the risk factors for community-dwelling older people at risk of malnutrition and dependency.