Abstract Background There has been increasing interest in examining the potential moderating effects that cognitive functioning has on treatment outcome in bipolar disorder (BD) and major depressive disorder (MDD). Therefore, the aim of this exploratory study was to examine the relationship between baseline cognitive function and treatment outcome in individuals with mood disorders who completed 12 months of interpersonal and social rhythm therapy (IPSRT), and were randomised to receive adjunctive cognitive remediation (CR) or no additional intervention. Methods Fifty‐eight patients with mood disorders (BD, n = 36, MDD, n = 22), who were randomised to IPSRT‐CR or IPSRT, underwent cognitive testing at baseline and completed follow‐up mood measures after 12 months. General linear modelling was used to examine the relationship between baseline cognitive function (both objective and subjective) and change in mood symptom burden, and functioning, from baseline to treatment‐end. Results Poorer baseline attention/executive function was associated with less change in mood symptom burden, particularly depressive symptoms, at treatment‐end. Additionally, slower psychomotor speed at baseline was associated with less improvement in mania symptom burden. Subjective cognitive function at baseline was not related to change in mood symptom burden at treatment‐end, and neither objective nor subjective cognitive function was associated with functional outcome. Limitations Due to the exploratory nature of the study, there was no correction for multiple comparisons. Conclusion Aspects of objective cognitive function were associated with treatment outcomes following psychotherapy. Further large‐scale research is required to examine the role that cognitive function may have in determining various aspects of mood disorder recovery.