Inconsistent results are found in the involvement of the Hypothalamus-Pituitary-Adrenal (HPA)-axis in cognitive functioning. This study examined the association between various saliva cortisol measures (the 1-h awakening cortisol, evening cortisol, diurnal change, and cortisol suppression) and cognitive functioning (episodic memory, processing speed, interference control, and working memory). Participants were older adults, between 60 and 93 years with (N = 328) and without (N = 119) a depressive disorder from the Netherlands Study of Depression in Older adults. No significant associations between cortisol and cognitive functioning were observed in the total sample. Only in non-depressed older adults, higher total cortisol secretion over the first hour after awakening and worse episodic memory, higher cortisol levels at awakening and better working memory, and higher diurnal change and better processing speed were significantly associated. Cortisol was not associated with cognitive functioning in depressed older adults. In older adults, the association between depression and cognitive functioning is likely the consequence of other biological or psychological mechanisms.