This study examined the prevalence of cognitive impairment and its association with depressive symptoms and self-reported cognitive complaints in Danish outpatients with systemic lupus erythematosus (SLE). Fifty-seven consecutive female SLE-outpatients were examined with a comprehensive neuropsychological test-battery, a 20-item self-administered Perceived Deficits Questionnaire (PDQ) and a self-rated depression scale (Major Depression Inventory). Twenty-two patients (38.5%) were classified as cognitively impaired, mostly with deficits in executive functions and attention. Among cognitively impaired patients only 18.2% had significantly higher PDQ scores than the normal range. PDQ scores were highly correlated to depressive symptoms (r = 0.67, p < 0.001). Only two neuropsychological tests were significantly correlated with subjective cognitive complaints. When these variables and self-rated depression score were entered into a regression model both depression score and Symbol Digit Modalities Test performances were significantly associated with the PDQ score. In conclusion, cognitive impairments were common in this group of (mild) SLE outpatients, but the level of significant subjective cognitive complaints was low even among patients with cognitive impairment. Affective status may influence subjective experience of cognitive functions even more than cognitive functioning itself, and absence of subjective cognitive complaints did not exclude the presence of cognitive impairments.