Extended Reality (XR) technologies, including virtual, augmented, and mixed realities, offer groundbreaking opportunities for cognitive assessment and training. These immersive environments hold the potential to significantly enhance the ecological validity of cognitive tasks while providing real-time biometric data through multimodal systems such as GSR, EEG, eye tracking, hand tracking, and body tracking. However, despite the promise of XR, most current applications underutilize its full capabilities, particularly the integration of multiple modalities to enhance immersion and presence. This review examines the state of XR applications in cognitive assessment and training, focusing on ecological validity, user experience, and clinical utility. We also discuss the current issues with XR technologies, including cybersickness, usability, and under-exploitation of XR’s technological capabilities. The review concludes with a discussion of the future potential of XR in enhancing both cognitive evaluation and rehabilitation, offering insights for optimizing XR tools for diverse populations and clinical settings.