Background: Ageing, inactivity and obesity are associated with chronic low-grade inflammation contributing to a variety of lifestyle-related diseases. Transforming growth factor-β (TGF-β) is a multimodal protein with various cellular functions ranging from tissue remodelling to the regulation of inflammation and immune functions. While it is generally accepted that aerobic exercise exerts beneficial effects on several aspects of immune functions, even in older adults, the effect of resistance training remains unclear. The aim of this study was to investigate whether progressive resistance training (6 months) with or without nutritional supplementation (protein and vitamins) would influence circulating C-reactive protein and TGF-β levels as well as TGF-β signalling in peripheral mononuclear cells (PBMCs) of institutionalised adults with a median age of 84.5 (65.0–97.4) years. Results: Elastic band resistance training significantly improved performance as shown by the arm-lifting test (p = 0.007), chair stand test (p = 0.001) and 6-min walking test (p = 0.026). These results were paralleled by a reduction in TGF-β receptor I (TGF-βRI) mRNA expression in PBMCs (p = 0.006), while circulating inflammatory markers were unaffected. Protein and vitamin supplementation did not provoke any additional effects. Interestingly, muscular endurance of upper and lower body and aerobic performance at baseline were negatively associated with changes in circulating TGF-β at the early phase of the study. Furthermore, drop-outs of the study were characterised not only by lower physical performance but also higher TGF-β and TGF-βRI mRNA expression, and lower miRNA-21 expression. Conclusions: Progressive resistance training with elastic bands did not influence chronic low-grade inflammation but potentially affected TGF-β signalling in PBMCs through altered TGF-βRI mRNA expression. There appears to be an association between physical performance and TGF-β expression in PBMCs of older adults, in which the exact mechanisms need to be clarified.