There is a scarcity of evidence on subjectively reported cognitive difficulties in individuals at ultra-high risk (UHR) for psychosis and whether these self-perceived cognitive difficulties may relate to objective cognitive deficits, psychopathology, functioning, and adherence to cognitive remediation (CR). Secondary, exploratory analyses to a randomized, clinical trial were conducted with 52 UHR individuals receiving a CR intervention. Participants completed the Measure of Insight into Cognition—Self Report (MIC-SR), a measure of daily life cognitive difficulties within the domains of attention, memory, and executive functions along with measures of neuropsychological test performance, psychopathology, functioning, and quality of life. Our study found participants with and without objectively defined cognitive deficits reported self-perceived cognitive deficits of the same magnitude. No significant relationship was revealed between self-perceived and objectively measured neurocognitive deficits. Self-perceived cognitive deficits associated with attenuated psychotic symptoms, overall functioning, and quality of life, but not with adherence to, or neurocognitive benefits from, a CR intervention. Our findings indicate that UHR individuals may overestimate their cognitive difficulties, and higher levels of self-perceived cognitive deficits may relate to poor functioning. If replicated, this warrants a need for both subjective and objective cognitive assessment in at-risk populations as this may guide psychoeducational approaches and pro-functional interventions. Self-perceived cognitive impairments do not seem to directly influence CR adherence and outcome in UHR states. Further studies are needed on potential mediator between self-perceived cognitive deficits and functioning and quality of life.