Background: Previous studies have shown that major depressive disorder (MDD) is associated with a variety of cognitive deficits, which can persist even in remitted states. Nevertheless, the relationship between the cognitive and affective symptoms in depression remains obscure. The aim of the present study was to explore the clinical characteristics and correlates of the cognitive deficits in patients with MDD. Methods: Clinical and neuropsychological assessments were conducted at baseline and 6-month follow-ups. The severity of the disease and the effect of treatment were assessed with the Hamilton Depression Scale-17. Neuropsychological tests, including the digital symbol substitution test and digit span test, were administered to 67 depressed patients and 56 healthy participants. Results: MDD patients showed impairments in memory, attention, and executive function at baseline. After the 6-month treatment phase, patients in remission showed significant alleviation of these cognitive deficits, although impairments in attention and executive function were still present when compared to controls. Discussion: Significant cognitive deficits are present in MDD. The speed of remission of cognitive functions seems to be slower than and inconsistent with emotional symptoms, which provides new support for the argument that cognitive deficits are independent factors from the emotional symptoms in MDD.