The results of recent studies suggested that emotional disorders (such as anxiety and depression), cognitive impairments and cardiovascular disorders are related on the subclinical level. These major health issues are often concomitant and have complex, sex-dependent relationships; it is therefore important to study these issues concomitantly in the general population, in order to gain a better understanding of early-stage subclinical relationships between these conditions. The objective of this exploratory study was to assess correlations between anxiety, depression, cognition, and endothelial function in young adults from the general population. Endothelial function (via the reactive hyperaemia index (RHI) was assessed with a plethysmographic device. Depression and anxiety were self-reported via the Beck Disorder Inventory II and the State-Trait Anxiety Inventory, respectively. The Cambridge Neuropsychological Test Automated Battery was used to measure performances in visuospatial memory, visuospatial working memory, and sustained attention. Performances in inhibition and flexibility were evaluated with the Color Word Interference Test. Forty-four young adults (21 males; mean ± standard deviation age: 25.8 ± 1.1; 23 females; mean age: 25.6 ± 1.4) were included in the study. Anxiety was correlated with a low RHI (r = -0.40, p = 0.015, 95% CI [-0.64, -0.08]). In females, the depression score was positively correlated with the number of errors in the visuospatial memory task (r = 0.42, p = 0.049; 95% CI [-0.002, 0.70]) and visuospatial working memory (r = 0.57, p = 0.005; 95% CI [0.10, 0.79]). In males, high anxiety and depression scores were negatively correlated with the number of errors in visuospatial working memory task (anxiety: r = -0.77, p = 0.001; 95% CI [-0.91, -0.43]; depression r = -0.61, p = 0.004, 95% CI [-0.82, -0.22], respectively). However, the relationship between cognitive performance and RHI was not significant. Our data suggest that anxiety and depression could be differentially related to cognitive and endothelial functions in a non-clinical population of young adults. More research is needed to confirm these results, understand the pathophysiological mechanisms in more details, and assess the importance of a sex-specific approach.