Objectives There are relatively few studies of cognitive performance in the first few postmenopausal years and insufficient data on whether there is differential decline in different cognitive abilities. The aim of the present analysis was to determine the nature of cognitive decline across a range of functions within a period of 5 years from early to late postmenopausal stage. Methods In a cross-sectional study, 189 postmenopausal women, who had experienced a natural menopause, were not taking hormonal medication and had not done so in the previous 12 months, were divided according to their postmenopausal stage into early (stage +1, ≤5 years since the last menstrual period, aged 55.4 ± 0.3 years, n = 80), or late (stage +2, >5 years since the last menstrual period, aged 59.8 ± 0.4 years, n = 109) postmenopausal stages. Participants completed a comprehensive battery of tests measuring attention, episodic and semantic memory, planning and mental flexibility. Participants also completed self-ratings of mood, sleepiness and menopausal symptoms. Results There were no differences between the groups in their performance in tests of attention, verbal fluency or memory. However, in the two tests of executive function (planning and mental flexibility) the women in the late postmenopausal stage performed significantly worse than the women in the early postmenopausal stage. These differences remained significant when effects of age and IQ were taken into account by analyses of covariance. There were no differences between the groups in their ratings of mood or of habitual sleepiness, or of feeling sleepy at the start of testing. However, by the end of testing the women in the late postmenopausal stage rated themselves as feeling sleepier than did the women in the early postmenopausal stage. The group differences in executive function remained significant when these differences in sleepiness were accounted for. Conclusions Although there were no differences in attention, verbal fluency and memory, executive function was significantly poorer in the late postmenopausal stage women, suggesting that this aspect of cognition deteriorates more rapidly than other functions. This change was independent of change in age, suggesting that hormonal changes between the early and late postmenopausal stages may be responsible.