Cognitive dysfunction is of clinical significance and exerts longstanding implication on patients׳ function. Pharmacological and non-pharmacological treatments of cognitive dysfunction are emerging. This review evaluates pharmacological and non-pharmacological treatments of cognitive impairment primarily in the domains of memory, attention, processing speed and executive function in clinical depression. A total of 35 studies were retrieved from Pubmed, PsycInfo and Scopus after applying inclusion and exclusion criteria. Results show that various classes of antidepressants exert improving effects on cognitive function across several cognitive domains. Specifically, studies suggest that SSRIs, the SSRE tianeptine, the SNRI duloxetine, vortioxetine and other antidepressants such as bupropion and moclobemide may exert certain improving effects on cognitive function in depression, such as in learning and memory and executive function. Class-specific cognitive domains or specific dose-response relationships were not identified yet. The few non-pharmacological studies conducted employing cognitive orientated treatments and cognitive remediation therapy show promising results for the improvement of cognitive impairment in depression. However, several methodological constraints of studies limit generalizability of the results and caution the interpretation. Future direction should consider the development of a neuropsychological consensus cognitive battery to support the discovery, clinical assessment, comparison of studies and registration of new agents in clinical depression.