Multiple System Atrophy (MSA) is a rare neurodegenerative disease, clinically defined by a combination of autonomic dysfunction and motor involvement, that may be predominantly extrapyramidal (MSA-P) or cerebellar (MSA-C). Although dementia is generally considered a red flag against the clinical diagnosis of MSA, in the last decade the evidence of cognitive impairment in MSA patients has been growing. Cognitive dysfunction appears to involve mainly, but not exclusively, executive functions, and may have different characteristics and progression in the two subtypes of the disease (i.e., MSA-P and MSA-C). Despite continued efforts, combining in-vivo imaging studies as well as pathological studies, the physiopathological bases of cognitive involvement in MSA are still unclear. In this view, the possible link between cardiovascular autonomic impairment and decreased cognitive performance, extensively investigated in PD, needs to be clarified as well. In the present study, we evaluated a cohort of 20 MSA patients (9 MSA-P, 11 MSA-C) by means of a neuropsychological battery, hemodynamic assessment (heart rate and arterial blood pressure) during rest and active standing and bedside autonomic function tests assessed by heart rate variability (HRV) parameters and sympathetic skin response (SSR) in the same experimental session. Overall, global cognitive functioning, as indicated by the MoCA score, was preserved in most patients. However, short- and long-term memory and attentional and frontal-executive functions were moderately impaired. When comparing MSA-P and MSA-C, the latter obtained lower scores in tests of executive functions and verbal memory. Conversely, no statistically significant difference in cardiovascular autonomic parameters was identified between MSA-P and MSA-C patients. In conclusion, moderate cognitive deficits, involving executive functions and memory, are present in MSA, particularly in MSA-C patients. In addition, our findings do not support the role of dysautonomia as a major driver of cognitive differences between MSA-P and MSA-C.