Neuropsychological underperformance is well described in young adults at clinical high risk for psychosis, but the literature is scarce on the cognitive profile of at-risk children and adolescents. The aim of this study is to describe the neuropsychological profile of a child and adolescent sample of patients with psychosis risk syndrome (PRS) compared to healthy controls and to analyze associations between attenuated psychotic symptoms and cognitive impairment. Cross-sectional baseline data analysis from a longitudinal, naturalistic, case-control, two-site study is presented. Eighty-one help-seeking subjects with PRS and 39 healthy controls (HC) aged between 10 and 17 years of age were recruited. PRS was defined by: positive or negative attenuated symptoms, Brief Limited Intermittent Psychotic Symptoms (BLIPS), genetic risk (first- or second-degree relative), or schizotypal personality disorder plus impairment in functioning. A neuropsychological battery was administered to assess general intelligence, verbal and visual memory, visuospatial abilities, speed processing, attention, and executive functions. The PRS group showed lower general neuropsychological performance scores at a multivariate level and lower scores than controls in general intelligence and executive functions. Lower scores on executive function and poorer attention were associated with high scores of positive attenuated psychotic symptoms. No association with attenuated negative symptoms was found. This study provides evidence of cognitive impairment in PRS children and adolescents and shows a relationship between greater cognitive impairment in executive functions and attention tasks and severe attenuated positive symptoms. However, longitudinal studies are needed to clarify the nature of cognitive impairment as a possible vulnerability marker.