Subjective cognitive complaints are used to detect detrimental age-related variations in cognitive efficiency before cognitive decline occurs in late adulthood. Despite this, there is controversial evidence on the relationship between the aforementioned metacognitive measure and the actual cognitive efficiency of older individuals. Instead, subjective cognitive complaints seem to be related to perceived mental health. This study aimed to investigate the nature of the relationships between subjective cognitive failures, mental health, and executive functioning. An additional goal was to examine whether there were significant differences in perceived mental health and executive functions efficiency by comparing older people who exhibited fewer subjective cognitive complaints with a group who reported more cognitive complaints. Eighty-nine community-dwellers (Mage = 78.6 years, SD = 6.5 years; age range = 66–95 years), 42 males and 47 females, were recruited and completed a battery of tools assessing cognitive failures, depressive symptoms, psychological well-being, optimism, global cognitive functioning, vocabulary, and several executive functions. Significant relationships were only found between self-reported cognitive failures, depressive symptoms, optimism, and psychological well-being. Moreover, participants who reported more cognitive failures also exhibited less optimism and psychological well-being and showed more depressive symptoms than older respondents who exhibited fewer cognitive complaints. Finally, no differences in the measures of executive functioning were found between groups exhibiting low vs. high levels of subjective cognitive complaints. In conclusion, the concurrent objective assessment of cognitive functioning and self-reported evaluation of cognitive processes and mental health of older people should be encouraged, to detect possible threats to their well-being.