Soccer performance depends on multiple interacting factors, including physical, technical, tactical, and psychological components. Among the psychological factors associated with optimal performance are athletes’ emotional states, their regulation, and executive functions. These processes support attention to relevant external stimuli and enable players to plan, adapt, and regulate their behavior during gameplay. Although executive functions and emotional states have been widely studied in sport settings, research examining the relationship between these variables in athletes is limited, particularly in female soccer players. The aim of this study was to explore the relationship between emotional states, emotional regulation, and performance on cognitive tasks in female players from the Mexican soccer league. Twenty-eight players participated in two individual assessment sessions in which anxiety and depression levels, emotional regulation, and executive functions—planning, inhibitory control, working memory, and cognitive flexibility—were evaluated using psychological and neuropsychological tests. Results indicated a relationship between aspects of decision-making and players’ emotional regulation abilities, as well as between depression levels and onset latency in a working memory task. These findings support the existence of an association between emotional processes and cognitive functioning in female soccer players.