Cognitive impairment is emerging as an important therapeutic target in patients with psychiatric illnesses, including major depressive disorder (MDD). The objective of this general overview is to briefly review the evidence for cognitive impairment in MDD and to summarize a representative sample of cognitive assessment tools currently available to assess cognitive function in depressed patients. Study results in MDD patients with cognitive dysfunction are somewhat inconsistent, likely due to the heterogeneity of the disorder as well as the use of diverse assessment tools. Measuring cognitive changes in this population is challenging. Cognitive symptoms are typically less severe than in patients with schizophrenia and bipolar disorder, requiring greater sensitivity than afforded by existing tools. Preliminary evidence suggests antidepressant treatments may improve cognitive functioning as a direct result of ameliorating depressive symptoms; however, any procognitive effects have not been elucidated. To evaluate antidepressant efficacy in MDD patients with cognitive dysfunction, a standardized cognitive battery for use in clinical trials is essential.