Objective We assessed major cognitive domains in major depressive disorder (MDD) compared to a healthy control group using neurocognitive tests. We hypothesized that lower serum brain-derived neurotrophic factor (BDNF) levels would be associated with poorer neurocognitive performance in patients with major depression and that these associations would be shown in healthy controls as well. Method Executive functions, sustaining and focusing of attention, memory functions, and verbal fluency were assessed in this study using the Trail-Making Test (TMT), Stroop Color Word Interference Test-TBAG Form (SCWT), Wisconsin Card Sorting Test (WCST), Test of Variables of Attention (TOVA), Auditory Consonant Trigram test (ACTT), Digit Span subtest of the Wechsler Memory Scale (DST), Rey Auditory Verbal Learning Test (RAVLT), and Controlled Oral Word Association Test (COWAT). Results The MDD group showed significantly poorer performance than the control group in cognitive functions; they also had lower levels of BDNF than the control group. However, there was no correlation between cognitive performances and BDNF levels except in the TMT, Part B. Conclusions The current understanding of the importance of neurocognitive assessment and related biological markers in depression is improving. Further studies with larger sample sizes evaluating neurocognitive functions with molecular analyses of BDNF levels may reveal a novel marker for predicting and monitoring neurocognitive deficits in depression.