Hyperprolactinaemia, a common side effect of some antipsychotic drugs, is also present in drug-naïve psychotic patients and subjects at risk for psychosis. Recent studies in non-psychiatric populations suggest that increased prolactin may have negative effects on cognition. The aim of our study was to explore whether high plasma prolactin levels are associated with poorer cognitive functioning in subjects with early psychoses. We studied 107 participants: 29 healthy subjects and 78 subjects with an early psychosis (55 psychotic disorders with <3 years of illness, 23 high-risk subjects). Cognitive assessment was performed with the MATRICS Cognitive Consensus Cognitive Battery, and prolactin levels were determined as well as total cortisol levels in plasma. Psychopathological status was assessed and the use of psychopharmacological treatments (antipsychotics, antidepressants, benzodiazepines) recorded. Prolactin levels were negatively associated with cognitive performance in processing speed, in patients with a psychotic disorder and high-risk subjects. In the latter group, increased prolactin levels were also associated with impaired reasoning and problem solving and poorer general cognition. In a multiple linear regression analysis conducted in both high-risk and psychotic patients, controlling for potential confounders, prolactin and benzodiazepines were independently related to poorer cognitive performance in the speed of processing domain. A mediation analysis showed that both prolactin and benzodiazepine treatment act as mediators of the relationship between risperidone/paliperidone treatment and speed of processing. These results suggest that increased prolactin levels are associated with impaired processing speed in early psychosis. If these results are confirmed in future studies, strategies targeting reduction of prolactin levels may improve cognition in this population.