Research in gerontology has demonstrated mixed effects of social support on cognitive decline and dementia: Social support has been shown to be protective in some studies, but not in others. Moreover, little is known about the underlying mechanisms between social support and cognitive functioning. We investigate one of the possible mechanisms, and argue that subjective appraisals rather than received amounts of social support affect cognitive functioning. Loneliness is seen as an unpleasant experience that occurs when a person's network of relationships is felt to be deficient in some important way. As such, loneliness describes the extent to which someone's needs are not being met and thus provides a subjective assessment of support quality. We expect that receiving instrumental and emotional support reduces loneliness, which in turn preserves cognitive functioning. Data are from the Longitudinal Aging Study Amsterdam (LASA) and include 2255 Dutch participants aged 55–85 over a period of six years. Respondents were measured every three years. Cognitive functioning was assessed with the Mini-Mental State Examination (MMSE), the Coding Task, and the Raven's Coloured Progressive Matrices. The analytical approach comprised latent growth mediation models. Frequent emotional support related to reduced feelings of loneliness and better cognitive functioning. Increases in emotional support also directly enhanced cognitive performance. The protective effect of emotional support was strongest amongst adults aged 65 years and older. Increase in instrumental support did not buffer cognitive decline, instead there were indications for faster decline. After ruling out the possibility of reversed causation, we conclude that emotional support relationships are a more powerful protector of cognitive decline than instrumental support relationships.