Research on the implications of anxiety in Parkinson’s disease (PD) has been neglected despite its prevalence in nearly 50% of patients and its negative impact on quality of life. Previous reports have noted that neuropsychiatric symptoms impair cognitive performance in PD patients; however, to date, no study has directly compared PD patients with and without anxiety to examine the impact of anxiety on cognitive impairments in PD. This study compared cognitive performance across 50 PD participants with and without anxiety (17 PDA+; 33 PDA−), who underwent neurological and neuropsychological assessment. Group performance was compared across the following cognitive domains: simple attention/visuomotor processing speed, executive function (e.g., set-shifting), working memory, language, and memory/new verbal learning. Results showed that PDA+ performed significantly worse on the Digit Span forward and backward test and Part B of the Trail Making Task (TMT-B) compared to the PDA− group. There were no group differences in verbal fluency, logical memory, or TMT-A performance. In conclusion, anxiety in PD has a measurable impact on working memory and attentional set-shifting.