Major depressive disorder (MDD) is a disabling disease associated with profound functional impairment. Cognitive deficits, increasingly recognised as a core feature of MDD, reduce educational, occupational and social outcomes, and impair quality of life and functionality. Unlike cognitive impairments associated with schizophrenia (CIAS), cognitive impairments in depression have been under diagnosed and are poorly understood. Consensus has yet to be reached regarding the nature of these deficits, their appropriate assessment and treatment options. It is unclear whether existing treatments have an impact on cognitive deficits. Here, we conduct a thorough and extensive review of recent published work on this unmet clinical need (2014–2018). We evaluate the validity of available assessment tools, and examine the evidence for efficacy of current and novel pharmacological therapies. From our analysis, we have established that cognitive deficits are indeed widespread in MDD patients. The THINC-it tool, a recently validated and sensitive cognitive assessment instrument, shows promise for earlier detection of cognitive impairment associated with MDD and could easily be applied in clinical practice. Several potential novel therapies are emerging. Methodological inconsistencies and small underpowered studies, however, have led to conflicting results and inconclusive evidence. Our recommendations include: development of a standardised neurocognitive test battery for MDD, improving clinical trial design, investigating sex differences, and patient stratification. These changes should support the development of improved therapeutic strategies for cognitive dysfunction in MDD patients, as well as facilitate their use in clinical practice.