Cognitive impairment and sexual dysfunction are common symptoms in persons with Multiple Sclerosis (MS). The present study focuses on the relationship between these two dimensions by means of a specific assessment commonly used in clinical practice with this population. Fifty-five persons with a diagnosis of MS underwent specific cognitive tests and answered clinical questionnaires. Two cognitive tests, one for memory (the Selective Reminding Test), and one for attention (the Symbol Digit Modalities Test), were administered together with two tests for executive functions (the D-KEFS Sorting Test and Stroop Test). Two self-report questionnaires to investigate clinical, psychological and sexual features (the Beck Depression Inventory-II and Self-perception of Cognition in Multiple Sclerosis and Multiple Sclerosis Intimacy and Sexuality Questionnaire-19), were also administered. The main result highlights that sexual difficulties are associated with cognitive deficits, particularly with executive disorders, but not with memory and attention. Furthermore, sexual difficulties are better explained when depression symptoms are also taken into account. This study disentangles the interaction between sexual dysfunction, cognitive impairment and depression in persons with MS by emphasising the role of very high cognitive processing (i.e., executive functioning) in determining human behaviour.