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Objectives To examine i) the relationship between neuropsychological performance and depression and anxiety over time, and ii) the overlap between classification of cognitive dysfunction, anxiety, and depression in SLE. Methods 301 patients with SLE were included. Cognition was measured using a modified version of the ACR neuropsychological battery; cognitive dysfunction was defined as z-scores ≤-1.5 on ≥2 domains. Depression and anxiety were measured using the Beck Depression Inventory-II and the Beck Anxiety Inventory, respectively. All measures were assessed at baseline, 6, and 12 months. Their relationships were analyzed using Multiple Factor Analysis (MFA). Results Anxiety and depression and neuropsychological performance were stable across time. Factor analysis identified two dimensions explaining 42.2% of the variance in neuropsychological performance. The first dimension (33.1% of the variance) included primarily complex cognitive tests measuring executive function; verbal, visual, and working memory; and complex processing speed. The second dimension (9.1% of the variance) included primarily measures of simple information processing speed or motor dexterity. Anxiety and depression scores were consistently related to the first cognitive dimension. There was substantial overlap in participants classified with cognitive dysfunction and anxiety and depression. Conclusions Depression and anxiety symptoms in SLE patients are related to a cognitive dimension incorporating memory, executive function and complex processing speed in a stable manner across one year. Many patients with cognitive dysfunction exhibit clinically significant anxiety and depression. Further research should examine whether cognition improves when anxiety and depression are treated and mechanistic links between anxiety and depression and cognitive dysfunction in SLE.