Cockle Bay is a small bay in inner-city Sydney, in the state of New South Wales, Australia. It is located on the western edge of the Sydney central business district.

Cockle Bay is one of the bays in Darling Harbour, which opens into the much larger Sydney Harbour. The locality around the bay is also known as Darling Harbour. The bay is primarily known for Cockle Bay Wharf, a waterfront entertainment area including a wide variety of restaurants, pubs, clubs, cafes and function venues.