Background: Persistent cognitive impairment is frequent across bipolar disorder (BD) and major depressive disorder (MDD), highlighting an urgent need for pro-cognitive treatments. Aim: This study investigated effects of erythropoietin (EPO) on cognitive impairment and dorsal prefrontal cortex (dPFC) activity in affective disorders. Methods: In this randomized, double-blinded, placebo-controlled trial, cognitively impaired patients with remitted BD or MDD received 1 weekly recombinant human EPO (40,000 IU/mL) or saline infusion for a 12-week period. Assessments were conducted at baseline, after 2 weeks of treatment (week 3), immediately after treatment (week 13) and at 6-months follow-up. Participants underwent functional MRI during performance on a n-back working memory (WM) task at baseline and week 3, and for a subgroup 6 weeks post-treatment (week 18). The primary outcome was a cognitive composite score at week 13, whereas secondary outcomes comprised sustained attention and functioning. WM-related dPFC activity was a tertiary outcome. Results: Data were analysed for 101 of the 103 included patients (EPO, n = 58; saline, n = 43). There were no effects of EPO over saline on any cognitive or functional outcomes or on WM-related dPFC activity. Conclusions: The absence of treatment-related changes in cognition and neural activity was unexpected and contrasts with multiple previous preclinical and clinical studies. It is possible that the lack of effects resulted from a recent change in the manufacturing process for EPO. Nevertheless, the findings support the validity of dPFC target engagement as a biomarker model for pro-cognitive effects, according to which treatments that do not improve cognition should not modulate dPFC activity. Trial registrations: EudraCT no.: 2016–004023-24; ClinicalTrials.gov identifier: NCT03315897.