The brain-derived neurotrophic factor (BDNF) gene is an important candidate gene for schizophrenia. The association of BDNF with schizophrenia has been extensively analyzed using the polymorphism Val66Met. There is accumulating evidence that Val66Met is associated with clinical presentations of schizophrenia rather than with the disease itself. In this study, BDNF allele and genotype distributions were compared in patients (n = 1785) and healthy controls (n = 1092). There was no association between the Val66Met polymorphism and schizophrenia. The marker was not associated with the presence of the affective syndrome either. At the same time, the ValVal genotype was associated with higher anxiety levels in male patients as assessed with PANSS. Patients' personality traits were characterized using the personality inventories EPI, MMPI, and STAI (n = 363), and their cognitive functions, attention (n = 282) and verbal fluency (n = 392), were evaluated. Patients with the ValVal genotype showed higher levels of anxiety (by MMPI) and better performance on neurocognitive tests. The genotype and trait anxiety (by STAI score) had an interaction effect on cognitive functions. In patients with higher anxiety, performance on cognitive tests did not depend on the genotype, while in patients with lower levels of anxiety, the ValVal genotype was associated with significantly better performance. This effect should be taken into account when studying associations of the Val66Met polymorphism with cognitive functions in patients with schizophrenia.