The Hypothalamic Pituitary Adrenal (HPA) axis has been implicated in the pathophysiology of a variety of mood and cognitive disorders. Neuroendocrine studies have demonstrated HPA axis overactivity in major depression, a relationship of HPA axis activity to cognitive performance, and a potential role of HPA axis genetic variation in cognition. In schizophrenia differential HPA activity has been found, including higher rates of non-suppression to dexamethasone challenge and higher salivary cortisol levels, which have been a premonitory risk factor for conversion to psychosis in adolescents at risk for developing schizophrenia. The present study investigated the simultaneous roles HPA axis activity and clinical symptomatology play in poor cognitive performance. Patients with major depression with psychosis (PMD) or schizophrenia spectrum disorder (SCZ) and healthy controls (HC) were studied. All participants underwent a diagnostic interview and psychiatric ratings, a comprehensive neuropsychological battery, and overnight hourly blood sampling for cortisol. Cognitive performance did not differ between the clinical groups, though they both performed more poorly than the HC's across a variety of cognitive domains. Across all subjects, cognitive performance was negatively correlated with higher cortisol, and PMD patients had higher evening cortisol levels than did SCZ and HCs. Cortisol and clinical symptoms, as well as age, sex, and antipsychotic use predicted cognitive performance. Diathesis stress models and their links to symptomatology, cognition, and HPA function are discussed.