Previous studies of neuropsychological performance in borderline personality disorder (BPD) have exhibited mixed results. The high rate of co-occurring major depressive disorder (MDD) in BPD makes it difficult to specify whether neuropsychological deficits in BPD predominantly reflect co-occurring MDD or unique aspects of their psychopathology. To address this issue, 22 participants with borderline personality disorder and concurrent major depressive disorder (BPD-MDD) and 33 participants with MDD and no concurrent personality disorder were compared on a neuropsychological battery that assessed seven domains of performance: general intellectual functioning, motor skill, psychomotor speed, attention, memory, working memory, and executive function. Neuropsychological performance did not differ between BPD-MDD and MDD. However, BPD-MDD participants reported higher levels of anger, anxiety, and of overall emotional distress compared to MDD. When levels of anxiety were controlled, BPD-MDD participants exhibited superior general intellectual performance, psychomotor speed, and attention. Deficits found in previous BPD samples may reflect their susceptibility to co-occurring MDD. The impact of anxiety on neuropsychological performance in BPD, though, indicates a need for future experimental studies of the effects of mood on cognitive function to determine whether mood dysregulation, rather than core depressive symptoms, underlie cognition impairments in BPD.