Background: Self-care requires that patients learn to care for themselves. Cognitive impairment and depression can decrease the ability and interest in performing self-care. The objectives were to explore the association between cognitive function and self-care in heart failure patients, and to examine if this association was moderated by symptoms of depression. Methods: This cross-sectional study included 105 heart failure patients in NYHA II-IV, median age 72 years. Self-care was measured with the European Heart Failure Self-Care Behavior Scale, cognitive function with a neuropsychological battery, and depressive symptoms were measured with the Patient Health Questionnaire. The associations between the study variables were examined with multiple regression analyses. Results: Psychomotor speed was the only cognitive dimension significantly associated with self-care. The association between psychomotor speed and self-care was not moderated by symptoms of depression. Conclusions: Deficits in psychomotor speed have implications for how patients should be educated and supported to perform self-care.