Objective: Individuals experienced high levels of stress during the COVID-19 pandemic, which was associated with an increase in mental health issues, such as anxiety and depression. Anxiety and depression symptoms are correlated with executive function skills. Executive functioning is a set of cognitive processes that include working memory, flexible thinking, and self-control. These skills help individuals complete everyday tasks such as focusing, following directions, and handling emotions. It is hypothesized that lower levels of executive function are associated with higher levels of anxiety and depression during the COVID-19 pandemic. Methods: College students from a variety of institution types completed the Kessler Psychological Scale (K10) and the Behavior Rating Inventory of Executive Function, Second Edition (BRIEF-2). K10 consists of 10 questions and is used to screen for depression and anxiety symptoms; whereas the BRIEF is an 86-item questionnaire that assesses executive function behaviors in home and school settings. IBM SPSS version 28.0.0.0 was utilized to analyze the relationship between psychological distress and executive function skills. Age, gender, race, and income were treated as covariates. Results: Psychological distress was positively correlated with executive dysfunction (rs = .17, p = .013). Conclusion: Psychological distress, a measure of anxiety and depression, was associated with executive function skills. Future research is needed to examine whether executive function skills serve as a protective factor and reduce the impact of psychological distress and ultimately the development of psychopathology.