Cognitive impairment has been linked to reduced self-reporting of pain. However, it is unclear whether the various cognitive functions are similarly and/or independently associated with such pain report measures. In the present study, we explored how executive functioning (EF), memory, and global cognition relate to self-reported pain and investigated whether underlying neuropathology partially accounts for these results. We used Lasso categorical regression to analyze data from 179 individuals visiting a memory clinic. The data included the self-reported pain occurrence, intensity, severity and frequency, clinical diagnoses, neuropsychological scores, white matter hyperintensities, medial temporal lobe atrophy, depressive symptoms, and demographics. Our results showed that worse memory and EF performance predicted a lower pain occurrence. In those individuals who did report pain, worse memory predicted lower pain intensity, severity, and frequency levels, but for EF reversed effects were found, with worse EF predicting higher pain scores. These relationships were only partially explained by reductions in white matter and medial temporal lobe integrity. Similar effects were found for depressive symptoms. Our findings highlight the distinct associations of EF and memory with self-reported pain. A similar pattern of relationships found for both self-reported pain and depressive symptoms may reflect shared latent affective components.