Patients with cerebral small vessel disease (SVD) frequently show decline in cognitive performance. However, neuroimaging in SVD patients discloses a wide range of brain lesions and alterations so that it is often difficult to understand which of these changes are the most relevant for cognitive decline. It has also become evident that visually-rated alterations do not fully explain the neuroimaging correlates of cognitive decline in SVD. Fractal dimension (FD), a unitless feature of structural complexity that can be computed from high-resolution T-weighted images, has been recently applied to the neuroimaging evaluation of the human brain. Indeed, white matter (WM) and cortical gray matter (GM) exhibit an inherent structural complexity that can be measured through the FD. In our study, we included 64 patients (mean age ± standard deviation, 74.6 ± 6.9, education 7.9 ± 4.2 years, 53% males) with SVD and mild cognitive impairment (MCI), and a control group of 24 healthy subjects (mean age ± standard deviation, 72.3 ± 4.4 years, 50% males). With the aim of assessing whether the FD values of cerebral WM (WM FD) and cortical GM (GM FD) could be valuable structural predictors of cognitive performance in patients with SVD and MCI, we employed a machine learning strategy based on LASSO (least absolute shrinkage and selection operator) regression applied on a set of standard and advanced neuroimaging features in a nested cross-validation (CV) loop. This approach was aimed at 1) choosing the best predictive models, able to reliably predict the individual neuropsychological scores sensitive to attention and executive dysfunctions (prominent features of subcortical vascular cognitive impairment) and 2) identifying a features ranking according to their importance in the model through the assessment of the out-of-sample error. For each neuropsychological test, using 1000 repetitions of LASSO regression and 5000 random permutations, we found that the statistically significant models were those for the Montreal Cognitive Assessment scores (p-value = .039), Symbol Digit Modalities Test scores (p-value = .039), and Trail Making Test Part A scores (p-value = .025). Significant prediction of these scores was obtained using different sets of neuroimaging features in which the WM FD was the most frequently selected feature. In conclusion, we showed that a machine learning approach could be useful in SVD research field using standard and advanced neuroimaging features. Our study results raise the possibility that FD may represent a consistent feature in predicting cognitive decline in SVD that can complement standard imaging.