Memory and executive function are often impaired in patients with major depression, while cortisol secretion is increased. Mineralocorticoid receptors (MR) are abundantly expressed in the hippocampus and in the prefrontal cortex, brain areas critical for memory, executive function, and cortisol inhibition. Here, we investigated whether MR stimulation with fludrocortisone (1) improves memory and executive function and (2) decreases cortisol secretion in depressed patients and healthy individuals. Twenty-four depressed patients without medication and 24 age-, sex-, and education-matched healthy participants received fludrocortisone (0.4 mg) or placebo in a randomized, double-blind, within-subject cross-over design. We measured verbal memory, visuospatial memory, executive function, psychomotor speed, and salivary cortisol secretion during cognitive testing between 1400 and 1700 hours. For verbal memory and executive function, we found better performance after fludrocortisone compared with placebo across groups. No treatment effect on other cognitive domains emerged. Depressed patients performed worse than healthy individuals in psychomotor speed and executive function. No group effect or group × treatment interaction emerged on other cognitive domains. Fludrocortisone decreased cortisol secretion across groups and there was a significant correlation between cortisol inhibition and verbal memory performance. Our data suggest a crucial role of MR in verbal memory and executive function and demonstrate the possibility to improve cognition in depressed patients and healthy individuals through MR stimulation.