Patients diagnosed with unipolar disorder usually experience impaired cognitive functioning during an acute depressive episode. The purpose of the current study was to investigate the association of specific clinical factors with cognitive dysfunction in a group of major depressed patients. 65 subjects diagnosed with recurrent major depressive disorder were evaluated during an acute episode. The cognitive functions were assessed with neuropsychological tests for attention and processing speed, memory, verbal fluency, psychomotor speed and executive functions. Hamilton Depression Rating Scale - 17 items was used to quantify the severity of depression. Clinical variables consisted in age at onset, number of previous depressive episodes, presence of psychotic symptoms or suicide attempts. The group had a mean age of 48.48 years, with predominance of females, with a history of 5.43 episodes and associated psychotic symptoms (23.1%) and suicide attempts (20%). Cognitive domains for which we found significant results ( p  < 0.05) were executive functions and attention, being associated with the number of previous depressive episodes. Psychomotor speed was significantly associated with the severity of depression. Also, patients with psychotic symptoms obtained altered results for psychomotor speed and verbal memory. For almost all cognitive domains we found significant statistical association with different clinical aspects, such as number of depressive episodes, severity of depression, presence of psychotic symptoms and suicide attempts. Since each of them had an influence over cognition, further studies involving larger samples are necessary to establish if there is a direct relationship between cognitive impairment and clinical variables.