Impaired cognition is often overlooked in the clinical management of depression, despite its association with poor psychosocial functioning and reduced clinical engagement. There is an outstanding need for new treatments to address this unmet clinical need, highlighted by our consultations with individuals with lived experience of depression. Here we consider the evidence to support different pharmacological approaches for the treatment of impaired cognition in individuals with depression, including treatments that influence primary neurotransmission directly as well as novel targets such as neurosteroid modulation. We also consider potential methodological challenges in establishing a strong evidence base in this area, including the need to disentangle direct effects of treatment on cognition from more generalised symptomatic improvement and the identification of sensitive, reliable and objective measures of cognition.