Cognitive deficits are common symptom presentations in neurology and psychiatry. Cognitive symptoms during major depressive episodes cause subjective distress as well as difficulties during therapy and psychosocial reintegration. Depression-associated cognitive symptoms are characterized by a mood-congruent information processing bias as well as by cognitive performance deficits. A diagnostically relevant profile of neuropsychological impairments specific to depression has not yet been identified. Nevertheless, deficits of executive and declarative memory functions have repeatedly been reported. The time course of cognitive deficits after remission of mood is not entirely clear. Depending on the point of time of the reinvestigation, patients may still exhibit pronounced cognitive deficits. This article presents the current knowledge about cognitive symptoms in major depression, including the pathophysiology and treatment options.