Recent studies have confirmed that white matter hyperintensities (WMHs) accumulated in strategic brain regions can predict cognitive impairments associated with Alzheimer’s disease (AD). The knowledge of white matter anatomy facilitates lesion-symptom mapping associated with cognition, and provides important spatial information for lesion segmentation algorithms. However, deep learning-based methods in the white matter hyperintensity (WMH) segmentation realm do not take full advantage of anatomical knowledge in decision-making and lesion localization processes. In this paper, we proposed an anatomical knowledge-based MRI deep learning pipeline (U-Net), handcrafted anatomical-based spatial features developed from brain atlas were integrated with a well-designed U-Net configuration to simultaneously segment and locate WMHs. Manually annotated data from WMH segmentation challenge were used for the evaluation. We then applied this pipeline to investigate the association between WMH burden and cognition within another publicly available database. The results showed that U-Net significantly improved segmentation performance compared with methods that did not incorporate anatomical knowledge (p < 0.05), and achieved a 14-17% increase based on area under the curve (AUC) in the cohort with mild WMH burden. Different configurations for incorporating anatomical knowledge were evaluated, the proposed stage-wise U-Net-two-step method achieved the best performance (Dice: 0.86, modified Hausdorff distance: 3.06 mm), which was comparable with the state-of-the-art method (Dice: 0.87, modified Hausdorff distance: 3.62 mm). We observed different WMH accumulation patterns associated with normal aging and cognitive impairments. Furthermore, the characteristics of individual WMH lesions located in strategic regions (frontal and parietal subcortical white matter, as well as corpus callosum) were significantly correlated with cognition after adjusting for total lesion volumes. Our findings suggest that U-Net is a reliable method to segment and quantify brain WMHs in elderly cohorts, and is valuable in individual cognition evaluation.