Prolonged grief disorder (PGD) is associated with impairments in cognitive functioning, but the neuropsychological correlates of early grief in older adults are poorly understood. This preliminary study cross-sectionally examined neuropsychological functioning in bereaved adults with high and low grief symptoms and a non-bereaved comparison sample and further explored the relationship between multidomain cognitive measures and grief severity. A total of ninety-three nondemented older adults (high grief: n = 44; low grief: n = 49) within 12 months post-bereavement and non-bereaved comparison participants (n = 43) completed neuropsychological battery including global and multiple domain-specific cognitive functioning. Linear regression models were used to analyze differences in multidomain cognitive measures between the groups and specifically examine the associations between cognitive performance and grief severity in the bereaved, after covariate adjustment, including depressive symptoms. Bereaved older adults with higher grief symptoms performed worse than those with lower symptoms and non-bereaved participants on executive functioning and attention and processing speed measures. In the bereaved, poorer executive functioning, attention and processing speed correlated with higher grief severity. Attention/processing speed–grief severity correlation was seen in those with time since loss ≤ 6 months, but not > 6 months. Intense early grief is characterised by poorer executive functioning, attention, and processing speed, resembling findings in PGD. The putative role of poorer cognitive functioning during early grief on the transition to integrated grief or the development of PGD remains to be elucidated.