Heat waves are deteriorating the indoor thermal environment of non-air-conditioned buildings, bringing more intensive heat-humid exposures, which poses a great threat to human cognitive performance that is closely related to human safety and health. Previous studies mainly focused on the thermos-physiological aspect, trying to establish predicting models of cognitive performance, but the subjective aspect also needs investigating. In order to explore the relationship between cognitive performance and subjective responses of subjects to hot-humid exposure, a 150-min experiment was conducted in four hot-humid experiments, during which five kinds of cognitive tasks were administered to simulate the sustained mental workload. ‘National Aeronautics and Space Administration-Task Load Index’ (NASA-TLX) and ‘Positive Affect and Negative Affect Schedule scale’ (PANAS) were selected to acquire the perceived mental workload and mood before and after these tasks. Thereafter, changes in the perceived workload and mood with air temperature and exposure time were analyzed. The results of cognitive tasks (response time and accuracy) were recorded online automatically, with which the cognitive performance index (CPI) was calculated. The results showed that five items of NASA-TLX, namely mental demand, physical demand, temporal demand, effort, and frustration, were negatively related to air temperature (p < 0.05), and they were also observed to have quasi-inverted-U relationships with exposure time. Another item, the performance, was found to have a quasi-U relationship with exposure time. Furthermore, a quasi-inverted-U relationship was observed between the positive mood and exposure time, while a quasi-U relationship between the negative mood and exposure time was detected. Finally, a performance-mood relation was established based on the correlation analysis among the CPI, mood, and mental workload, which produced a linear relation with the R2 of 0.71. This study provided references for the self-evaluation of cognitive performances in buildings without air-conditioners, which is important in the circumstance where heat waves appear more.