Glucocorticoids and inflammatory markers can influence cognitive function. Hair cortisol concentrations (HCC) reflect longer-term hypothalamic pituitary adrenal (HPA) axis function and combined with immune markers can provide insights into how HPA-axis and immune pathways interact to influence cognition. We examined the association between HCC and high sensitivity c-reactive protein (hsCRP) levels, as well as the interaction between HCC and hsCRP, and cognitive function in a sample of 153 females, aged between 18 and 79 years, from a cross-sectional case-control study (SHARED ROOTS), conducted in Cape Town, South Africa from May 2014 until June 2017. We examined whether HCC and hsCRP levels were associated with performance on neurocognitive tests in both unadjusted and adjusted linear regression models. HCC demonstrated a significant inverse association with verbal working memory in both unadjusted (p = 0.010) and adjusted (p = 0.016) analyses. There were significant interactions between HCC and hsCRP on verbal intelligence (p = 0.016), language (p = 0.023) and executive function (p = 0.008) scores, such that at low HCC hsCRP levels were positively associated with language (p = 0.020) and executive function (p = 0.006) scores and at high HCC hsCRP levels were inversely associated with verbal intelligence (p = 0.034) scores. Though the results did not survive correction for multiple comparisons, they suggest stress-related neuroendocrine effects on working memory impairment. Furthermore, under physiological conditions and low long-term HCC, there may be positive effects of peripheral inflammatory markers on cognitive performance, whereas there may be detrimental effects when the HPA-axis is dysregulated as reflected by high long-term cortisol output.