Introduction Subjects with a psychotic disorder show mild to moderate cognitive impairment, which is an important determinant of functional outcome. The underlying biological process of cognitive impairment in psychosis is unclear. We aimed to explore whether hypothalamic–pituitary–thyroid axis hormones or thyroid autoimmunity modulate cognitive functioning in subjects with early psychosis. Methods We studied 70 patients with a psychotic disorder (<3years of illness) and a control group of 37 healthy subjects (HS). Plasma levels of thyroid-stimulating hormone (TSH), free thyroxine (FT4) and thyroid-peroxidase (TPO-Abs) and thyroglobulin antibodies (TG-Abs) were determined. Cognitive assessment was performed with the MATRICS Cognitive Consensus Cognitive Battery. We also explored the relationship between thyroid variables and cognition in three subgroups of psychotic patients: psychosis not otherwise specified, affective psychosis (bipolar disorder or schizoaffective disorder) and non-affective psychosis (schizophrenia or schizophreniphorm disorder). Results In patients with early psychosis, higher FT4 levels (but not TSH or thyroid antibodies) were associated with better cognitive performance in attention/vigilance and overall cognition. The relationship between FT4 levels and the attention/vigilance domain remained significant in a multivariate analysis after adjusting for education level, age, gender, substance use, and benzodiazepine and antipsychotic treatments. We did not find a significant association between FT4 and cognitive performance in HS. In the exploratory analysis by psychotic subtypes, subjects with affective psychosis had increased FT4 levels and better cognitive profile than those with non-affective psychosis. Conclusions Our study suggests that FT4 levels are associated with cognitive abilities (attention/vigilance and overall cognition) in individuals with early psychosis.