Major Depressive Disorder (MDD) is an affective disorder with sustained negative affect and difficulties experiencing positive affect as its hallmark features. Previous work also highlights cognitive biases and deficits in cognitive control that accompany depression and suggestions have been made as to how cognitive and affective aspects of the disorder are linked. Recent work proposes that difficulties in the self-regulation of affect after experiencing negative life events may contribute to risk for the onset of depression, and indeed there is evidence that depressed patients exhibit more frequent use of maladaptive strategies when regulating affect and show difficulties effectively implementing adaptive strategies. Cognitive aspects of depression may play an important role in helping us understand these difficulties in self-regulation. This article reviews recent work on emotion regulation in depression and links cognitive biases and deficits associated with depression to difficulties in the self-regulation of emotion. Importantly, a main goal of the article is to identify topics in need of future attention that could greatly help shed light on the relation between cognition and emotion regulation in this and other psychological disorders.