Background: Cognitive impairment experienced by people with bipolar disorders (BD) or major depressive disorder (MDD) is associated with impaired psychosocial function and poorer quality of life. Sleep disturbance is another core symptom of mood disorders which may be associated with, and perhaps worsen, cognitive impairments. The aim of this systematic review was to critically assess the relationship between sleep disturbance and cognitive impairment in mood disorders. Methods: In this systematic review, relevant studies which examined sleep disturbance and cognitive function in people with mood disorders were identified using electronic database searches of PsychINFO, MEDLINE, Embase and Web of Science. Findings: Fifteen studies were included; nine investigated people with BD, five investigated people with MDD, and one included both people with MDD and people with BD. One study was an intervention for sleep disturbance and the remaining fourteen studies used either a longitudinal or cross-sectional observational design. Eleven studies reported a significant association between subjectively measured sleep disturbance and cognitive impairment in people with MDD or BD after adjusting for demographic and clinical covariates, whereas no such association was found in healthy participants. Two studies reported a significant association between objectively measured sleep abnormalities and cognitive impairment in mood disorders. One study of cognitive behavioural therapy for insomnia modified for BD (CBTI-BD) found an association between improvements in sleep and cognitive performance in BD. Interpretation: There is preliminary evidence to suggest a significant association between sleep disturbance and cognitive impairment in mood disorders. These findings suggest that identifying and treating sleep disturbance may be important when addressing cognitive impairment in MDD and BD.