Cognitive impairment in multiple sclerosis (MS) significantly impacts quality of life, yet its relationship to depression and self-reported deficits remains unclear. In 298 MS patients across three clinical trials, objective cognitive impairment correlated with lower mental quality of life but not with mild or moderate depression. Self-reported deficits strongly reflected depressive symptoms rather than actual cognitive decline, while caregiver reports aligned more closely with objective impairment but were influenced by physical disability and depression. These findings underscore the need for routine objective cognitive screening and careful evaluation of depression when addressing cognitive complaints in MS.