Thirteen patients with systemic lupus erythematosus and depression (Depressed-SLE), 10 Depressed-Control subjects, and 25 Healthy Control subjects completed cognitive testing and self-report questionnaires of pain, depression, and fatigue. The Depressed-SLE group scored higher on the American College of Rheumatology Neuropsychological Battery for systemic lupus erythematosus cognitive impairment index compared to Depressed-Control and Healthy Control subjects (p < 0.05 and p < 0.02, respectively). No correlations between cognitive impairment and pain, fatigue, or perceived cognitive failures were observed in the Depressed-SLE participants. Moderate agreement (86.4%) was found between a comprehensive neuropsychology battery cognitive impairment index and the ACR-SLE impairment index in the Depressed-SLE patients. Overall, the magnitude and pattern of cognitive impairment in Depressed-SLE patients cannot be explained by depression alone.