Cognitive difficulties typically resolve within days to weeks following mild traumatic brain injury (mTBI); however, a sizable proportion of individuals continue to report cognitive symptoms months to years later that are often associated with posttraumatic stress disorder (PTSD) and depression to a greater degree than a history of mTBI. The current study sought to evaluate the prevalence of self-reported cognitive difficulties as well as the relative contributions of demographic, injury-related, and mental health variables in a large study of U.S. military personnel injured during deployment since 2001. Slightly fewer than half (42.0%) of participants reported elevated cognitive difficulties compared with a normative population; however, this was driven primarily by those who screened positive for PTSD or depression. Hierarchical linear regression revealed that various demographic and injury factors, including lower educational attainment, retired or separated military status, enlisted rank, and a history of deployment-related mTBI, were associated with more self-reported cognitive difficulties, f2 = 0.07. Screening positive for PTSD or depression accounted for 32.1% of the variance in self-reported cognitive symptoms, f2 = 0.63, whereas injury variables, including a history of deployment-related mTBI, albeit significant in the model, accounted for 1.6%. The current findings add to the growing body of literature underscoring the importance of screening for and treating mental health conditions in injured military personnel.