Participation in social activities is one of important factors for older adults' health. The present study aims to examine the cross-sectional association between social activities and cognitive function among Chinese elderly. A total of 8966 individuals aged 60 and older from the 2015 China Health and Retirement Longitudinal Study were obtained for this study. Telephone interviews of cognitive status, episodic memory, and visuospatial abilities were assessed by questionnaire. We used the sum of all three of the above measures to represent the respondent's cognitive status as a whole. Types and frequencies of participation in social groups were used to measure social activities. Multiple linear regression analysis was used to explore the relationship between social activities and cognitive function. After adjustment for demographics, smoking, drinking, depression, hypertension, diabetes, basic activities of daily living, instrumental activities of daily living, and self-rated health, multiple linear regression analysis revealed that interaction with friends, participating in hobby groups, and sports groups were associated with better cognitive function among both men and women (p < 0.05); doing volunteer work was associated with better cognitive function among women but not among men (p < 0.05). These findings suggest that there is a cross-sectional association between participation in social activities and cognitive function among Chinese elderly. Longitudinal studies are needed to examine the effects of social activities on cognitive function.