Magnetic resonance-guided focused ultrasound (MRgFUS) anterior capsulotomy is a novel treatment option for patients with refractory obsessive compulsive disorder (OCD) or major depressive disorder (MDD). However, there is concern that lesional psychiatric surgery procedures may have adverse effects on cognition. In this study, we examined whether MRgFUS capsulotomy causes cognitive decline in patients with psychiatric illness. Ten patients with refractory OCD (n = 5) or MDD (n = 5) underwent MRgFUS capsulotomy. Cognitive functioning was measured at baseline as well as 6 months and 12 months postoperatively, with a battery of neuropsychological tests assessing domains of executive function, memory, and processing speed. Scores were analyzed at the individual-level, and changes ≥2 standard deviations were considered clinically significant. We also examined whether changes in clinical symptoms were associated with changes in cognitive performance. At baseline intellectual functioning was in the average to high-average range for the group. Following MRgFUS capsulotomy, there were no deteriorations in cognition that reached ≥2 standard deviations at 6 or 12 months. Eight out of ten patients demonstrated a ≥2 standard deviation improvement in at least one cognitive score at 6 or 12 months postoperatively. Improvements in clinical symptoms correlated significantly with self-reported improvements in frontal lobe function (p < 0.05), but not with objective measures of cognitive functioning. To summarize, MRgFUS capsulotomy did not result in cognitive decline in this cohort of patients with refractory OCD or MDD, suggesting that this procedure can be offered to patients with a very low risk of cognitive side effects.