Background: Patients with affective disorders experience cognitive dysfunction in addition to their affective symptoms. The relationship between subjectively experienced and objectively measured cognitive function is controversial with several studies reporting no correlation between subjective and objective deficits. Aims: To investigate whether there is a correlation between subjectively reported and objectively measured cognitive function in patients with affective disorders, and whether subjective complaints predict objectively measured dysfunction. Methods: The study included 45 participants; 15 with bipolar disorder (BD), 15 with unipolar disorder (UD) and 15 healthy individuals. Participants' subjectively experienced cognitive function and objective cognitive function were assessed with the Massachusetts General Hospital Cognitive and Physical Functioning Questionnaire (CPFQ) and the Screen for Cognitive Impairment in Psychiatry (SCIP), respectively. Patients were rated for affective symptoms with Hamilton Depression Rating Scale (HDRS) and Young Mania Rating Scale (YMRS). Results: Patients demonstrated subjective and objective cognitive dysfunction relative to controls (P-values = 0.01) but there were no differences between patient groups (P > 0.1). We found no correlation between subjectively experienced and objectively measured cognitive dysfunction in BD (P = 0.7), and a non-significant trend towards a correlation in UD (P = 0.06), which disappeared when controlling for gender (P = 0.1). Conclusion: Our results suggest that it is not necessarily patients who have cognitive complaints that are most impaired. If confirmed in a larger sample, our findings suggest that neuropsychological assessment is warranted to elucidate the potential role of cognitive dysfunction in patients' everyday lives and to inform treatment strategies targeting these difficulties.