•Deficits in several cognitive domains predicts disability in quality of life, and social, occupational, and global functioning•Self-perceived daily functioning is primarily associated with executive functioning and global cognition•Longitudinal psychosocial functioning outcomes are related to executive functioning, attention, and memory•Older age and greater depression symptom severity appear to enhance the negative relationship between cognitive deficits on psychosocial functioning Cognitive deficits are frequently observed in major depressive disorder (MDD), as well as impaired long-term psychosocial functioning. However, the relationship between cognitive deficits and psychosocial functioning in MDD is under-investigated. We aim to systematically review the literature on the relationship between specific cognitive impairments and psychosocial functioning in MDD. We systematically reviewed English-language literature in PubMed, PsychINFO, Scopus and Web of Science using search terms related to psychosocial functioning. Additional studies were identified by searching reference lists. Following our inclusion/exclusion criteria, 28 studies were reviewed. Inclusion criteria included age (> 18), MDD diagnosed by standard tools (e.g., DSM-IV), use of cognitive and psychosocial assessments. Cross-sectional studies indicated that cognitive deficits in domains of executive functioning, attention, memory, and global cognition are associated with psychosocial dysfunction in domains of as quality of life, and social, occupational, and global functioning. The cognition-functioning relationship was also observed in longitudinal studies, showing that only specific cognitive domains affected psychosocial outcomes over the long-term course of illness. Older age and greater MDD symptom severity appear to enhance cognition-psychosocial dysfunction relationship, however little is known regarding the role of a number of other clinical factors (e.g., psychosis, illness duration).