Neuropsychological alterations can lead to inaccurate perception, interpretation, and response to environmental information, which could be a risk factor for suicide. Ninety-six subjects were recruited from the Psychiatry Department of the Araba University Hospital-Santiago, including 20 patients with a recent attempt and diagnosis of major depressive disorder (MDD) according to DSM-V, 33 MDD patients with history of attempted suicide, 23 non-attempter MDD patients, and 20 healthy controls. All participants underwent a clinical interview and neuropsychological assessment on the following cognitive domains: working memory, processing speed, decision-making, executive function, and attention. Backward multiple regressions were performed adjusting for significant confounding variables. For group comparisons, ANOVA and Bonferroni tests were performed with a < 0.05 significance level. The patient groups did not differ regarding severity of depression and stressful events in the last 6 months. In comparison to healthy controls, depressed patients with lifetime suicide attempts had more general trauma ( = 0.003), emotional abuse ( = 0.003), emotional negligence ( = 0.006), and physical negligence ( = 0.009), and depressed patients with recent suicide attempts had experienced more child sexual abuse ( = 0.038). Regarding neuropsychological assessment, all patient groups performed significantly worse than did healthy controls in processing speed, decision-making, and attention. Comparisons between patient groups indicated that recent suicide attempters had poorer performance on executive function in comparison to both depressed lifetime attempters and depressed non-attempters ( = 0.296, = 0.019, and = 0.301, = 0.028, respectively). Besides, women with recent attempts had slightly better scores on executive function than males. Regarding the rest of the cognitive domains, there were no significant differences between groups. Executive function performance is altered in recent suicide attempts. As impaired executive function can be risk factor for suicide, preventive interventions on suicide should focus on its assessment and rehabilitation.