In patients with prostate cancer, earlier use and longer duration of new-generation hormonal therapy (NGHT), added to androgen deprivation therapy, requires careful evaluation of cognitive function. The aim of this systematic review is to describe the evidence about cognitive function in all the randomized trials (RCTs) testing NGHT (abiraterone, enzalutamide, apalutamide, darolutamide). We assessed the availability of both investigator-assessed cognitive impairment and disorders and patient-reported evaluation of cognitive function. Nineteen RCTs (17,617 patients) were included. The investigator-based evaluation of cognitive impairment was available in seven RCTs (36.8%). In total, 19/19 RCTs (100%) included patient-reported outcomes (PROs) collection, but PRO tools adopted allowed evaluation of cognitive function in two RCTs (10.5%). Among them, PRO-based cognitive function results were presented only in one RCT (5.3%): in ENZAMET, mean changes from baseline were worse with enzalutamide than with placebo, but deterioration-free survival favored enzalutamide. Despite cognitive deterioration could be relevant, clinical development of NGHT has not included a systematic evaluation of cognitive function. Assessment by investigators is at risk of underreporting, and commonly used PROs do not allow proper cognitive function analysis. Furthermore, the methodology of analysis can jeopardize the interpretation of results. Although direct comparisons are scanty, there could be differences between different NGHTs.