Background: An association has been found between the presence of lipid‐specific oligoclonal IgM bands (LS‐OCMB) in cerebrospinal fluid and a more severe clinical multiple sclerosis course. Objective: To investigate lipid‐specific oligoclonal IgM bands as a prognostic biomarker of cognitive impairment in the early stages of multiple sclerosis. Methods: Forty‐four patients underwent neuropsychological assessment at baseline and 4 years. Cognitive performance at follow‐up was compared adjusting by age, education, anxiety–depression, and baseline performance. Results: LS‐OCMB+ patients only performed worse for Long‐Term Storage in the Selective Reminding Test (p =.018). Conclusion: There are no remarkable cognitive differences between LS‐OCMB– and LS‐OCMB+ patients in the early stages of MS. Although an association has been reported between the presence of lipid‐specific oligoclonal IgM bands (LS‐OCMB) in cerebrospinal fluid and a more severe clinical multiple sclerosis course, no remarkable cognitive differences were found in this study between LS‐OCMB– and LS‐OCMB+ patients in the early stages of MS. [ABSTRACT FROM AUTHOR]