Cognitive function (CF) is a core feature related to all psychiatric disorders. However, self-report scales of CF (SRSC) may not always correlate with CF's objective measures and may have different mediators. Tools to select for evaluating CF in diverse psychiatric populations and their determinants need to be studied. In this study, we aimed to assess the association of SRSC (Perceived Deficit Questionnaire-Depression (PDQ-D), and World Health Organization's Adult Attention Deficit Hyperactivity Disorder Self-Report Scale (ASRS) and its inattentiveness subscale) with Letter-N-back as an objective measure of CF, and to analyze their association with psychopathology. Two hundred nine (131 nonclinical, and 78 clinical with a psychiatric diagnosis of ICD10 F31-39 [mood disorders excluding Bipolar I] or F40-F49 [neurotic, stress-related or psychosomatic disorder] categories) participants were evaluated with PDQ-D, ASRS, Beck Depression Inventory (BDI), and Beck's Anxiety Inventory (BAI), and N-back. Both groups' data were included in the analysis. PDQ-D showed a small correlation with N-back scores, whereas ASRS showed no correlation. PDQ-D and ASRS showed a large correlation. Age and BAI scores significantly predicted both PDQ-D and ASRS, whereas the cognitive subscale of BDI predicted PDQ-D, but not ASRS. Only BAI scores predicted N-back results. The mediation model revealed that 2-back scores of N-back task directly affects PDQ-D scores, independent of BDI scores. However, the cognitive subscale of BDI moderated 2-back and PDQ-D association. On the contrary, BAI scores significantly mediated the association of 2-back scores with PDQ-D. The direct effect of 2-back scores in PDQ-D was insignificant in the mediation of BAI scores. Our study validates the discordance between SRSC and an objective measurement of CF. Anxiety may affect both self-report and objective measurement of CF, whereas depressive thought content may lead to higher cognitive dysfunction reports in nondemented participants.