Although it is generally accepted that cognitive factors contribute to the pathogenesis of major depressive disorder (MDD), there are missing links between behavioral and biological models of depression. Nevertheless, research employing neuroimaging technologies has elucidated some of the neurobiological mechanisms related to cognitive-vulnerability factors, especially from a whole-brain, dynamic perspective. In this review, we integrate well-established cognitive-vulnerability factors for MDD and corresponding neural mechanisms in intrinsic networks using a dual-process framework. We propose that the dynamic alteration and imbalance among the intrinsic networks, both in the resting-state and the rest-task transition stages, contribute to the development of cognitive vulnerability and MDD. Specifically, we propose that abnormally increased resting-state default mode network (DMN) activity and connectivity (mainly in anterior DMN regions) contribute to the development of cognitive vulnerability. Furthermore, when subjects confront negative stimuli in the period of rest-to-task transition, the following three kinds of aberrant network interactions have been identified as facilitators of vulnerability and dysphoric mood, each through a different cognitive mechanism: DMN dominance over the central executive network (CEN), an impaired salience network-mediated switching between the DMN and CEN, and ineffective CEN modulation of the DMN. This focus on interrelated networks and brain-activity changes between rest and task states provides a neural-system perspective for future research on cognitive vulnerability and resilience, and may potentially guide the development of new intervention strategies for MDD.