Objectives: This study aimed to evaluate the influence of lower limb loss (LL) on mental workload by assessing neurocognitive measures in individuals with unilateral transtibial (TT) versus those with transfemoral (TF) LL while dual-task walking under varying cognitive demand. Methods: Electroencephalography (EEG) was recorded as participants performed a task of varying cognitive demand while being seated or walking (i.e., varying physical demand). Results: The findings revealed both groups of participants (TT LL vs. TF LL) exhibited a similar EEG theta synchrony response as either the cognitive or the physical demand increased. Also, while individuals with TT LL maintained similar performance on the cognitive task during seated and walking conditions, those with TF LL exhibited performance decrements (slower response times) on the cognitive task during the walking in comparison to the seated conditions. Furthermore, those with TF LL neither exhibited regional differences in EEG low-alpha power while walking, nor EEG high-alpha desynchrony as a function of cognitive task difficulty while walking. This lack of alpha modulation coincided with no elevation of theta/alpha ratio power as a function of cognitive task difficulty in the TF LL group. Conclusions: This work suggests that both groups share some common but also different neurocognitive features during dual-task walking. Although all participants were able to recruit neural mechanisms critical for the maintenance of cognitive-motor performance under elevated cognitive or physical demands, the observed differences indicate that walking with a prosthesis, while concurrently performing a cognitive task, imposes additional cognitive demand in individuals with more proximal levels of amputation.