Objective: Test the hypothesis that depressive symptoms are associated with cognitive performance and that cortisol levels may explain this association independently of Alzheimer's Disease (AD) biomarker levels. Design: Longitudinal observational study. Setting: Memory clinic, Karolinska University Hospital, Stockholm, Sweden. Participants: Consecutive patients (n = 162) who agreed to take part in the Cortisol and Stress in AD (Co-STAR) study during 2014-2017 and had data available for variables of interest. Measurements: Participants rated their depressive symptoms using the Geriatric Depression Scale (GDS) and collected diurnal salivary cortisol samples at home. Cognitive performance was assessed by standardized cognitive tests in the following domains: memory, working memory, processing speed, perceptual reasoning, and general cognitive function. Dementia, mild cognitive impairment (MCI), and subjective cognitive decline (SCD) were diagnosed as part of the clinical work-up. We determined the associations between GDS and cognitive domain scores using linear regressions, including cortisol levels as covariates. We also tested if cerebrospinal fluid (CSF) AD biomarkers amyloid j342 (Aj342) and tau proteins modified these associations. Results: The GDS score was negatively associated with performance in working memory and processing speed, independently of cortisol levels. These associations were no longer significant after introducing AD biomarkers as covariates. Baseline GDS score was not associated with change in memory or processing speed at follow-up. Conclusions: The underlying amyloid pathology may affect the association between depressive symptoms and cognitive performance in memory clinic patients.