Altered HPA-axis functioning is a hypothesized mechanism for worsened cognition in depression. The current study examines the indirect effects of depression on processing speed, executive functioning, and memory as a function of the HPA-axis. 38 individuals with a depression diagnosis and 50 healthy controls (HCs) aged 18-86 underwent neuropsychological testing and at-home diurnal salivary cortisol collection. Depression was assessed via structured clinical interviews and rating scales. Cognitive composite scores were derived from factor analysis. Daytime cortisol exposure was estimated using area under the curve (AUC). Depression was associated with higher cortisol levels and slower processing speed . A significant suppression effect of AUC was present on the relationship between depression and processing speed. Limitations include the cross-sectional design and limited sample heterogeneity. Though poorly modulated HPA-axis is one proposed mechanism of cognitive alterations in depression, our results did not support this conclusion for processing speed. Alternative mechanisms should be considered to inform interventions to target cognitive alterations in depression.