Insufficient outcomes amongst adults with major depressive disorder (MDD) provide the impetus to identify and refine therapeutic targets that are most critical to outcome from patient, provider, and societal perspectives. Towards this aim, a pivotal shift towards the transnosological domain, cognition, is occurring in the study of MDD and other brain disorders. This paper aims to provide a framework for conceptualizing and prioritizing cognitive function amongst adults with MDD with a particular view to provide a conceptual framework for research and clinical priorities. We also summarize extant data pertaining to psychotropic effects, notably antidepressants, on the cognitive dimension/domain. This narrative review was based on articles identified through a PubMed/MEDLINE search of all English-language articles published between January 1966 and October 2014. The search words were major depressive disorder, depression, unipolar depression, cognition, cognitive dysfunction, cognitive deficit, and cognitive function. The search was supplemented with a manual review of relevant references. The selection of articles for inclusion in this review was based on overall methodological quality as well as on their pertinence to informing the framework described herein. Cognitive dysfunction in MDD is a discrete domain subserved by discrete yet overlapping substrates. There is a need to provide a glossary of terms commonly employed in the cognition literature for consensus as to the appropriate screening, measurement, and monitoring tools. The guiding principle of measurement-based care should include systematic assessment and measurement of cognition in subpopulations with MDD, as a tactic to improve outcome. Relatively few treatment strategies have demonstrated efficacy specifically for the cognitive domain in MDD. The antidepressant vortioxetine has replicated evidence of specific pro-cognitive effects in adults with MDD across multiple subdomains of cognitive function. Vortioxetine is a novel antidepressant that is hypothesized to act through a combination of direct effects on receptor activity and serotonin receptor inhibition, as well as other systems. Pro-cognitive effects for other US FDA-approved agents are suggested, but pseudospecificity has not been excluded as a possible explanation of their beneficial effects on cognitive function. A disparate assortment of other agents are currently under investigation for possible benefit in mitigating cognitive deficits and improving cognitive performance (e.g., intranasal insulin, erythropoietin, anti-inflammatory agents). Non-pharmacological approaches including, but not limited to, cognitive remediation (CR), aerobic exercise, and neuromodulation are promising.