Patients with non-central nervous system (CNS) cancer frequently report cognitive complaints, that are recurrent and affect their quality of life. In order to improve supportive care of these cognitive difficulties, it is important to identify associated factors. Sleep disturbance is a good candidate to study, as patients with non-CNS cancer frequently report sleep disorders, and sleep plays a key role in cognitive functioning. The objective of the present systematic review was to summarize the results of studies evaluating the relationship between cognition and sleep in non-CNS cancer, and to highlight the need for further studies. PubMed [Medline] and Scopus databases were screened from April to November 2020 for studies published in English evaluating the association between cognition and sleep in adults with non-CNS cancer. The characteristics and risk of bias for each of the 30 included studies have been reported. Greater cognitive complaints in patients with non-CNS cancer were related to poorer self-reported sleep quality in almost all studies (n = 22/24). By contrast, around half of the studies reported a significant association between poorer neuropsychological performances and sleep complaints (n = 5/11). The studies were found to have several limitations, such as the lack of a control group, which would have shed the light on the period of occurrence of this association (e.g. after cancer diagnosis or after cancer treatments). Our review also identified factors that may influence the relationship between cognition and sleep. Recommendations are given for improving the methodology of future studies and extending the impact of their results.