Studies have reported difficulties in decision making for patients with schizophrenia or depression. Here, we investigated whether there are differences between schizophrenia patients, depressed patients, and healthy individuals (HC) when decisions are to be made under risk and cognitive flexibility is required. We were also interested in the relationships between decision making, cognitive functioning, and disease severity. Thirty HC, 28 schizophrenia patients, and 28 depressed patients underwent structured clinical assessments and were assessed by the Positive and Negative Syndrome Scale or Hamilton Rating Scale. They performed the Probability-Associated Gambling (PAG) Task and a neuropsychological test battery. Both patient groups obtained lower scores than HC in memory and executive function measures. In the PAG task, relative to HC, depressed patients made slower decisions but showed a comparable number of advantageous decisions or strategy flexibility. Schizophrenia patients were slower, riskier, and less flexible compared to HC. For them, the decision making behavior correlated with the symptom severity. In both groups, decision making scores correlated with memory and executive function scores. Patients with schizophrenia or depression may have difficulties under risk when quick and flexible decisions are required. These difficulties may be more pronounced in patients who have marked cognitive deficits or severe clinical symptoms.