Persistent cognitive impairments occur in a large proportion of patients with bipolar disorder (BD) but their underlying pathological cellular processes are unclear. The aims of this longitudinal study of BD and healthy control (HC) participants were to investigate (i) the association of brain erythropoietin (EPO) and oxidative stress with cognitive functions and (ii) the changes in brain EPO during and after affective episodes. Participants underwent neurocognitive testing, lumbar punctures for cerebrospinal fluid (CSF) sampling and provided urine spot tests at baseline (all), after an affective episode (patients) and after one year (all). EPO was assayed in the CSF and oxidative stress metabolites related to RNA and DNA damage (8-dihydroguanosine [8-oxo-Guo], 8-hydroxy-2-deoxyguanosine [8-oxo-dG]) were assayed in the CSF and spot urine. Data was available for analyses for 60 BD and 37 HC participants. In unadjusted primary analyses, verbal memory decreased with increasing concentrations of CSF EPO and oxidative stress. In unadjusted explorative analyses, poorer verbal memory and psychomotor speed were associated with higher levels of oxidative stress. However, no associations between cognitive functions and CSF levels of EPO or oxidative stress were observed after adjustment for multiple testing. CSF EPO concentrations were unchanged during and after affective episodes. While CSF EPO correlated negatively with CSF DNA damage marker 8-oxo-dG, this association rendered non-significant after adjusting for multiple testing. In conclusion, EPO and oxidative stress do not seem to be robustly related to cognitive status in BD. Further insight into the cellular processes involved in cognitive impairments in BD is necessary to pave the way for novel therapeutic strategies to improve patients’ cognitive outcomes.