Line dancing is one of the most practiced dance styles by adults and seniors due to the ease of execution of choreography. Due to the COVID-19 pandemic prolonging the restrictions of physical and sports activities, the elderly population has been forced into increased sedentariness and social isolation, resulting in the development of symptoms of depression. The aim of this study was to investigate the effects of line dancing practice on the mental state of late second- and third-age dancers. The sample consisted of 14 Italian female dancers with an average age of 65 years old. The Geriatric Depression Scale was used to verify whether 3 months of LD classes were able to produce improvements. Paired Samples T-Test and effect size were performed to test the difference between pre- and post-training protocol. The result was statistically significant (p < 0.05). Dancers improved their state of depression; in particular, they felt a better satisfaction in their life (d = 0.6), a greater interest in activities (d = 1), less boredom (d = 0.8), a good mood most of the time (d = 0.8), greater happiness throughout the day (d = 0.7), and the perception of a wonderful life (d = 0.5). Line dancing has proven to be an effective physical activity for improving the state of depression in late second- and third-age dancers.