Sex hormones, such as estrogens, progesterone, and testosterone, have a significant influence on brain, behavior, and cognitive functioning. The menstrual cycle has been a convenient model to examine how subtle fluctuations of these hormones can relate to emotional and cognitive functioning. The aim of the current paper is to provide a narrative review of studies investigating cognitive functioning in association with the menstrual cycle in biological females, with a focus on studies that have investigated cognitive functioning across the menstrual cycle in females with premenstrual mood disorders, such as premenstrual syndrome (PMS) and premenstrual dysphoric disorder (PMDD). In line with previous reviews, the current review concluded that there is a lack of consistent findings regarding cognitive functioning across the menstrual cycle. Most studies focused on changes in levels of blood estrogen, and neglected to explore the role of other hormones, such as progesterone, on cognitive functioning. Cognitive research involving premenstrual disorders is in its infancy, and it remains unclear whether any cognitive disturbances that are identified may be attributed to negative experience of mood and psychological symptoms or be a more direct effect of hormonal dysregulation or sensitivity. Suggestions for future research are provided.