To investigate whether changes in serum lipids are associated with cognitive performance in first episode psychosis (FEP) patients during their first year of antipsychotic drug treatment. One hundred and thirty-two antipsychotic-treated FEP patients were included through the TOP study along with 83 age- and gender-matched healthy controls (HC). Information regarding cognitive performance, psychotic symptoms, lifestyle, body mass index, serum lipids [total cholesterol, high-density lipoprotein (HDL) cholesterol, low-density lipoprotein cholesterol, and triglycerides] and antipsychotic treatment was obtained at baseline and after 1 year. The cognitive test battery is comprised of assessments for verbal learning, processing speed, working memory, verbal fluency, and inhibition. Mixed-effects models were used to study the relationship between changes over time in serum lipids and cognitive domains, controlling for potential confounders. There was a significant group by HDL interaction effect for verbal learning (F = 11.12, p = 0.001), where an increase in HDL levels was associated with improvement in verbal learning in FEP patients but not in HC. Practice effects, lifestyle, and psychotic symptoms did not significantly affect this relationship. Antipsychotic-treated FEP patients who increased in HDL levels during the first year of follow-up exhibited better verbal learning capacity. Further investigations are needed to clarify the underlying mechanisms.