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Objective To explore the relationship among cognitive function, anxiety, and self-management behavior in elderly patients with diabetes mellitus. Methods A face-to-face survey was conducted among elderly patients with type 2 diabetes mellitus aged 60 and over in the Department of Endocrinology, Penglai People' s Hospital, Yantai city, Shandong Province from October 2021 to May 2022. The Geriatric Anxiety Inventory-Short Form (GAI-SF), the Montreal Cognitive Assessment (MoCA), and self-designed items were used to assess the anxiety, cognitive function, and self-management behaviors of the patients. Path analysis and mediation effect testing were conducted using a structural equation model. Results In total 1 319 diabetic patients aged 60 and above were enrolled, of whom 8.3% had anxiety symptoms. The average scores of MoCA scale and self-management behavior were (23.89±4.12) and (3.74±1.27), respectively. Structural equation model analysis showed that cognitive function had a masking effect between anxiety and self-management behavior, and anxiety had a positive effect on self-management behavior directly (β)=0.127, P < 0.019). However, it also had a strong negative effect on cognitive function (β=-0.567, P < 0.001) and then had a negative effect on self-management behavior (β=-0.241, P < 0.001). Therefore, anxiety had a negative effect on self-management behavior (β=-0.115, P < 0.001). Conclusion The anxiety of elderly patients with diabetes is negatively correlated with their self-management behavior and can have a negative effect on self-management through cognitive function. [ABSTRACT FROM AUTHOR]