Chronic dysregulation of peripheral lipids has been found to be associated with depression and cognition, but their interaction has not been investigated. Growing evidence has highlighted the association between peripheral lipoprotein levels with depression and cognition with inconsistent results. We assessed the association between peripheral lipids, depression, and cognition while evaluating their potential interactions using robust clinically relevant predictors such as lipoprotein levels and chronic medical disorders that dysregulate lipoproteins. We report an association between peripheral lipids, depression, and cognition, suggesting a common underlying biological mechanism driven by lipid dysregulation in two independent studies. Analysis of a longitudinal study of a cohort at high or low familial risk for major depressive disorder (MDD) (n = 526) found metabolic diseases, including diabetes, hypertension, and other cardiovascular diseases, were associated with MDD and cognitive outcomes. Investigating a cross-sectional population survey of adults in the National Health and Nutrition Examination Survey 2011–2014 (NHANES) (n = 2377), depression was found to be associated with high density lipoprotein (HDL) and cognitive assessments. In the familial risk study, medical conditions were found to be associated with chronic lipid dysregulation and were significantly associated with MDD using the structural equation model. A positive association between chronic lipid dysregulation and cognitive scores was found in an exploratory analysis of the familial risk study. In a complementary study, analysis of NHANES revealed a positive association of HDL levels with cognition. Further analysis of the NHANES cohort indicated that depression status mediated the interaction between HDL levels and cognitive tests. Importantly, the protective effect of HDL on cognition was absent in those with depressive symptoms, which may ultimately result in worse outcomes leading to cognitive decline. These findings highlight the potential for the early predictive value of medical conditions with chronic lipid dyshomeostasis for the risk of depression and cognitive decline.