This is a review of cognitive abilities in major depression, which is associated with attention problems, memory deficit and wide impairment in executive functions. Depressed patients show two major cognitive biases: excessive processing of negatively valenced emotional stimuli; and increased self-focus. Both of these biases help to facilitate the integration of negative self-related information in depressed patients and to maintain their negative mood. Brain imaging studies suggest that this cognitive impairment is characterized by abnormal cooperation between the cognitive and limbic networks involved in cognitive control and self-referential processing. In general, depression is a disorder of multiple networks with emotional, cognitive and emotional symptoms. Among these symptoms, cognition is a major determinant of functional and social outcomes.