This study investigates the relationship between objective cognitive impairment (OCI), subjective cognitive complaints and depressive symptoms in men and women with classical and non-classical Fabry disease (FD). Cognitive functioning was assessed using a neuropsychological test battery, subjective cognitive complaints using a structured interview and depressive symptoms using a depression scale (CESD). Eighty-one patients were included (mean age 44.5 ± 14.3, 35% men, 74% classical). Subjective cognitive complaints were reported by 64% of all patients. OCI was present in thirteen patients (16%), predominantly in men with classical FD. Thirty-one patients (38%) had a high score (≥16) on the CESD scale. Male sex (OR, 6.8; 95%CI, 1.6–39.8; p = 1.6 * 10−2) and stroke (OR, 6.4; 95% CI, 1.1–41.0; p = 3.7 * 10−2) were independently positively associated with OCI, and premorbid IQ (one IQ point increase: OR, 0.91; 95%CI, 0.82–0.98; p = 3.8 * 10−2) was independently negatively associated with OCI. The CESD-score (one point increase: OR, 1.07; 95% CI, 1.02–1.13; p = 3.3 * 10−3) and a history of depression (OR, 2.7; 95% CI, 1.1–7.3; p = 3.9 * 10−2) were independently positively associated with subjective cognitive complaints. OCI is present in 16% of FD patients, warranting referral for neuropsychological assessment. Nevertheless, subjective cognitive complaints are related to depressive symptoms, emphasizing the importance of recognition and treatment of the latter.