Depressive symptoms and a history of mental disorders are associated with increased risk for dementia. Less is known about whether other aspects of psychological distress and negative self-beliefs also increase risk. The purpose of this research is to examine 1) whether eight aspects of psychological distress and self-beliefs (anxiety, negative affect, hostility, anger-in, anger-out, hopelessness, pessimism, perceived constraints) are associated with risk of incident dementia and cognitive impairment not dementia (CIND), 2) whether the associations are independent of depressive symptoms and history of a mental health diagnosis, and 3) whether the associations are also independent of behavioral, clinical, and genetic risk factors. A total of 9,913 participants (60% female) from the Health and Retirement Study completed the baseline measures, scored in the non-impaired range of cognition at baseline, and had cognitive status assessed across the 6-8-year follow-up. Baseline measures included eight aspects of psychological distress and self-beliefs, cognitive performance, depressive symptoms, and genetic, clinical, and behavioral risk factors. Participants who scored higher on anxiety, negative affect, hostility, pessimism, hopelessness, and perceived constraints were at a 20-30% increased risk of dementia and a 10-20% increased risk of CIND. The associations held controlling for baseline depressive symptoms, history of a mental health diagnosis, clinical and behavioral risk factors, and genetic risk. Anger-in and anger-out were unrelated to risk of either dementia or CIND. Independent of the core experience of depressed affect, other aspects of negative emotionality and self-beliefs increase risk of mild and severe cognitive impairment, which suggests additional targets of intervention.