BACKGROUND: Research shows that lipid levels may be associated with cognitive function, particularly among women. We aimed to examine total cholesterol (TC), low-density lipoprotein cholesterol (LDL-C), triglycerides (TG), high-density lipoprotein (HDL), and HDL/LDL ratio in relation to cognitive performance, measured with six well-established cognitive domains and a composite cognitive score (CCS). METHODS: In this cross-sectional study, biomarkers and neuropsychological assessment were available for 141 adults with MMSE scores ≥ 24 (mean age = 69 years, 47% female, mean education = 14.4 years) attending a neuropsychological evaluation. Ordinary least squares regressions were adjusted for age, gender, education, and depressive symptoms in Model 1 and also for apolipoprotein E4 (APOE4) status in Model 2. RESULTS: High-density lipoprotein cholesterol (HDL-C) was associated with better CCS (β = 0.24; p = 0.014). This association was significant among women (β = 0.30; p = 0.026) and not among men (β = 0.20; p = 0.124). HDL-C was also related to attention/working memory (β = 0.24; p = 0.021), again only among women (β = 0.37; p = 0.012) and not men (β = 0.15; p = 0.271). Adjusting for APOE4 yielded significance for high HDL-C and CCS (β = 0.24; p = 0.022). CONCLUSIONS: HDL-C was the main lipoprotein affecting cognitive function, with results somewhat more pronounced among women. Research should investigate the possibility of finding ways to boost HDL-C levels to potentially promote cognitive function.