Loneliness has been associated with an increased risk of cognitive decline and dementia in older people, as well as a dysregulation of Hypothalamic-Pituitary-Adrenal (HPA) axis functioning. In addition, it has been suggested that women are more vulnerable to the negative effects of loneliness on health. Our aim was to analyze the effect of HPA-axis functioning as a mediator in the relationship between loneliness and cognitive function, and interactions depending on sex, in healthy older people. To do so, 86 healthy older people (52.3% female) from 60 to 80 years old (M = 67.44, SD = 4.37) completed the revised UCLA loneliness scale. A neuropsychological battery was administered to assess global cognition, processing speed, attention and executive function, working memory, and verbal memory immediate and delayed recall. Saliva samples were provided on two consecutive weekdays to obtain awakening and bedtime cortisol levels, the diurnal cortisol slope (DCS), and the area under the curve with respect to the ground (AUCg). Our results showed that loneliness was not directly associated with cognitive performance. Furthermore, loneliness was related to higher bedtime cortisol levels, but not to awakening cortisol, the DCS, or the AUCg. In addition, loneliness was associated with worse performance on attention and processing speed, executive function, and verbal memory immediate recall, via bedtime cortisol levels. Therefore, we suggest that HPA-axis functioning is one of the biological mechanisms that mediate the relationship between loneliness and poorer cognitive function. No sex differences were observed in these associations.