This study aims to assess cognitive functioning differences among adolescents with retrospectively self-reported: ADHD and an onset of depression, only ADHD, only depression, and neither ADHD nor depression. Data from the Tracking Adolescents' Individual Lives Survey (TRAILS) cohort was used in this study. Neuropsychological functioning was assessed in 1549 adolescents, at baseline and follow-up (mean ages 11 and 19 years). The Composite International Diagnostic Interview was used to classify adolescents into 4 groups: ADHD with onset of depression, only ADHD, only depression, and neither ADHD nor depression. Linear mixed effects models were used to analyse group differences in cognitive functioning at baseline and follow-up, and the change in cognitive functioning between these 2 time-points. Results showed a significant main effect of group on response time variability at baseline, working memory maintenance at follow up, and change in response time variability scores between baseline and follow-up. As compared to the healthy and depressed-only groups, adolescents with only ADHD showed longer response time variability at baseline and, which declined between baseline and follow-up. Adolescents with ADHD plus depression showed higher reaction time for working memory maintenance than the depressed only and healthy groups at follow-up. In conclusion, adolescents with self-reported ADHD show poorer cognitive functioning than healthy adolescents and those with only depression. Amongst adolescents with ADHD, specific cognitive domains show poor functioning depending on the presence or absence of comorbid depression. While adolescents with only ADHD have lower reaction time variability, those with comorbid depression have poorer working memory maintenance.