Despite their cardiovascular benefits, statin use has been associated with a wide array of actual or perceived psychological and cognitive adverse events. The objective of this study was to compare baseline characteristics and the risk of developing psychological and cognitive disorders between persistent and nonpersistent statin users. We performed a retrospective cohort study (October 1, 2003, to March 1, 2010) of 13,626 statin users in a regional US military health-care system. The persistence of statin use was defined by cumulative pharmacy fill data. Outcomes were the occurrence of psychological diseases during follow-up using prespecified groups based on International Classification of Diseases, Ninth Revision, codes: (1) schizophrenia and psychosis, (2) major depression and bipolar disorders, (3) all psychological diseases, and (4) dementia and cognitive disorders. Statin users who were nonpersistent at 2 years were younger, less likely to be men, and had fewer co-morbidities than persistent users. They were also more likely to be diagnosed with schizophrenia or psychosis (odds ratio [OR] 1.58, 95% confidence interval [CI] 1.20 to 2.10) and cognitive disorders (OR 1.56, 95% CI 1.19 to 2.03) during follow-up compared with persistent users. There was not an association between nonpersistence at 2 years and the development of depression and bipolar disorders (OR 0.99, 95% CI 0.85 to 1.15) or combined psychological diseases (OR 0.97, 95% CI 0.86 to 1.09). Cumulative persistence with statin therapy as a continuous measure was associated with less risk of all outcomes. In conclusion, persistent statin users did not demonstrate an increase in the diagnosis of psychological disorders compared with nonpersistent users. Nonpersistent statin use was associated with a greater likelihood of being diagnosed with psychotic or cognitive disorders.