Lipid profile (total cholesterol and lipoprotein fractions) has been found to correlate with depression and cognitive impairment across the lifespan. However, the role of lipid levels in self-rated depressive state and cognitive impairment remains unclear. In this study, we examined the relationship between lipid profile (total cholesterol, triglycerides, high-density lipoprotein cholesterol and low-density lipoprotein cholesterol) and cognition in adults with and without self-rated depression. Four hundred and thirty-eight healthy participants completed the Repeatable Battery for the Assessment of Neuropsychological Status (RBANS), the Self-Rating Depression Scale (SDS), and a serum lipoprotein test. Using multivariate ANOVA, partial correlation and network analysis, a network linking lipoprotein profile, depressive state and cognition was constructed. A significant difference in serum lipid profile between the high and low depressive groups was detected. Depressive state had a strong negative correlation with cognitive performance. Of the lipid profile, only high-density lipoprotein was positively correlated with depressive symptom severity, whereas the other three indices showed negative correlation with both depressive state and cognitive performance. Our results suggest that serum lipid profile may be directly linked to self-rated depression and cognitive performance. Further studies recruiting larger clinical samples are needed to elucidate the specific effect of lipoprotein on cognitive impairment in mood disorder.