Cognitive dysfunction is a symptomatic domain identified across many mental disorders. Cognitive deficits in individuals with major depressive disorder (MDD) contribute significantly to occupational and functional disability. Notably, cognitive subdomains such as learning and memory, executive functioning, processing speed, and attention and concentration are significantly impaired during, and between, episodes in individuals with MDD. Most antidepressants have not been developed and/or evaluated for their ability to directly and independently ameliorate cognitive deficits. Multiple interacting neurobiological mechanisms (eg, neuroinflammation) are implicated as subserving cognitive deficits in MDD. A testable hypothesis, with preliminary support, posits that improving performance across cognitive domains in individuals with MDD may improve psychosocial function, workplace function, quality of life, and other patient-reported outcomes, independent of effects on core mood symptoms. Herein we aim to (1) provide a rationale for prioritizing cognitive deficits as a therapeutic target, (2) briefly discuss the neurobiological substrates subserving cognitive dysfunction, and (3) provide an update on current and future treatment avenues.