ApoE gene polymorphism may be involved in the change in blood lipid profile and cognitive impairment of the general population. However, few studies explored the effects of ApoE gene polymorphism on blood lipid levels and cognition in schizophrenia. The Repeatable Battery for the Assessment of Neuropsychological Status (RBANS) was employed to evaluate the cognition and the SNPStats was used to investigate the association of ApoE rs429358 with schizophrenia. The models of analysis of covariance and multivariate analysis were conducted to investigate the effect of ApoE rs429358 on cognition in schizophrenia. Altogether, 637 patients with schizophrenia and 467 healthy controls were recruited in this study. The findings in the case group found that both the ApoA1 and ApoB levels were predictors for RBANS total score (p < 0.001 vs. p = 0.011), immediate memory (p < 0.001 vs. p = 0.019), language (p < 0.001 vs. p = 0.013), attention (p < 0.001 vs. p < 0.001), except ApoA1 level only was a predictor for visuospatial/constructional (p = 0.014) and delayed memory (p < 0.001). When the association was examined in different ApoE rs429358 genotype subgroups, the association between ApoA1 level and RBANS scores (except for the language score) or between ApoB level and RBANS scores (except for the attention score) was regulated by ApoE rs429358. Our results suggest that patients with schizophrenia have broad cognitive impairment compared with healthy controls. For patients with schizophrenia, both ApoA1 and ApoB levels were positively associated with cognition. There was a significant association between ApoA1 or ApoB levels and cognition in schizophrenia, which was regulated by the ApoE rs429358.