Schizophrenia is a heterogeneous disorder characterized by a spectrum of symptoms and many different underlying causes. Thus, instead of using the broad diagnosis, intermediate phenotypes can be used to possibly decrease the underlying complexity of the disorder. Alongside the classical symptoms of delusions and hallucinations, cognitive deficits are a core feature of schizophrenia. To increase our understanding of the biological processes related to these cognitive deficits, we performed a genome-wide gene expression analysis. A battery of 14 neuropsychological tests was administered to 844 individuals from a Finnish familial schizophrenia cohort. We grouped the applied neuropsychological tests into five factors for further analysis. Cognitive endophenotypes, whole blood mRNA, genotype, and medication use data were studied from 47 individuals. Expression level of several RNA probes were significantly associated with cognitive performance. The factor representing Verbal Working Memory was associated with altered expression levels of 11 probes, of which one probe was also associated with a specific sub-measure of this factor (WMS-R Digit span backward). While, the factor Processing speed was related to one probe, which additionally associated among 55 probes with a specific sub-measure of this factor (WAIS-R Digit symbol). Two probes were associated with the measure recognition memory performance. Enrichment analysis of these differentially expressed probes highlighted immunological processes. Our findings are in line with genome-wide genetic discoveries made in schizophrenia, suggesting that immunological processes may be of biological interest for future drug design towards schizophrenia and the cognitive dysfunctions that underlie it.