The 19-year-old was let go by Newcastle United - his boyhood club.
The 19-year-old joined the Scottish Premiership outfit this summer after failing to win a spot on the retained list at Newcastle - the club he had been at for a decade.
It has been a busy transfer window for Kilmarnock, who have welcomed 11 new faces to the club in all and although Cobain says it was an easy decision to join Lee Clark's revolution, the young defender admits he was distraught to hear he has surplus to requirements with the North-East outfit.
He told The Scottish Sun: “I was gutted when I first found out that I was being released because it’s all I’ve ever known but you forget about a bad experience like that when a club like Kilmarnock comes in for you."
Manager Rafael Benitez will be determined to win promotion at the first time of asking and it would appear as if the Spaniard had little room for Cobain.
The Magpies faithful will also hope their club's hierarchy will welcome a few new players during the summer, having added Dwight Gayle and Matt Ritchie last week - and of course Benitez himself, after the former Liverpool manager's future at St James's Park until agreeing new terms with the club.