Background The use of repetitive transcranial magnetic stimulation (rTMS) for the treatment of depression has been studied extensively over the last 15 years. In this time the vast majority of trials included assessment of cognition to determine whether the technique is cognitively safe. However, recent evidence suggests that the assessment of cognition could also have an important role to play in the prediction of antidepressant response. Objectives The current study conducted a post hoc analysis of the cognitive data from four clinical trials of rTMS for treatment resistant depression, with an aim to investigate the relationship between early cognitive changes and eventual depression improvement. Method Data from 137 patients were included in the analysis (62 male and 75 female, mean ages 41.86 ± 11.68 years). The primary outcome measure for all four studies was the Montgomery Asberg Depression Rating Scale (MADRS). Clinical and cognitive assessments were undertaken at baseline, a midtime point, and at endpoint after 4 or 6 weeks of treatment. Results There was no cognitive deterioration after a treatment course of rTMS across the four depression trials. Initial improvements in performance on immediate visuospatial memory were significantly related to eventual reduction of depression severity, with visuospatial improvement being a significant predictor of degree of eventual improvement in a near significant regression model. Conclusions Traditionally cognitive batteries in rTMS trials are designed to provide a broad assessment of neuropsychological functioning across numerous cognitive domains; however, there is growing evidence that cognition may have a very important role to play as an early indicator of antidepressant response.