Stigma has been shown to interfere with self-identification as having a mental illness, perceived need, and help-seeking, but it is unclear whether it also impairs awareness of symptoms of mental illness. Objective and subjective cognitive deficits are common in mental illness, but the concordance of these assessments is generally weak. The present study aimed at investigating the role of stigma in explaining this discrepancy. A sample of 187 currently untreated persons with mental health problems was studied. Concentration performance was measured via the d2-R (i.e., the revision of the Concentration Endurance Test [d2 Test of Attention]) and subjectively (self-report). Measure discrepancy was quantified using a sensitivity score. Stigma was measured as personal stigmatizing attitudes, stigma awareness, and stigma stress. The association of stigma and sensitivity was examined via multiple regression analysis. In unadjusted regression models, stronger negative attitudes were significantly associated with overestimating, and higher stigma-stress was associated with underestimating one’s cognitive performance. These associations were reduced to a near-significant trend or disappeared when controlling for demographic variables. Subgroup analyses revealed that specific stigmatizing attitudes (i.e., differentness, untreatability) were associated with lower sensitivity in persons without prior contact to a person with mental illness, whereas in individuals without personal treatment experience, higher stigma stress was associated with greater symptom sensitivity. Interventions reducing stigmatizing attitudes may help facilitate the accurate recognition of cognitive deficits as possible first signs of a mental illness. Strengthening resources for coping with public stigma may prevent worsening of both symptoms and psychosocial functioning.