Objectives The patient-reported Multiple Sclerosis Neuropsychological Questionnaire (MSNQ) is inconsistently related to objective cognitive tests in multiple sclerosis (MS), while being strongly correlated with depression. In this study we test whether the relation between subjective and objective cognitive performance is moderated by physical disability, assessed by the Expanded Disability Status Scale (EDSS). Materials & Methods From 275 MS patients who completed the patient-report MSNQ and the two-question screening tool for depression, we collected Symbol Digit Modalities Test (SDMT) and EDSS scores, indicators of respectively objective cognitive performance and physical disability. We analysed correlations between these variables in the total group and in three EDSS subgroups: Low 0.0 – 3.0, Medium 3.5 – 6.0 and High 6.5 – 9.0. We also investigated the use of a composite measure of cognitive impairment and depression. Results We found no significant correlations between patient-reported MSNQ and SDMT scores in the total group or the EDSS subgroups. MSNQ scores correlated significantly with depression in all subgroups. After correcting for several variables, MSNQ scores contributed adversely to SDMT scores in the total group, not in any subgroup. MSNQ scores contributed significantly to the prediction of the composite measure of impairment in the total group and in all EDSS subgroups. Conclusions The relationship between measures of subjective and objective cognitive performance is not influenced by the patient’s level of physical disability. MSNQ scores are substantially influenced by depression, and reflect cognitive function to some degree. The patient-report MSNQ can be useful to identify patients requiring further (neuro)psychological assessment.