Given the association between major depressive disorder (MDD) and cortical inefficiency related to executive control, specifically in the sense that individuals with MDD may recruit more cognitive resources to complete tasks at the same capacity as those without MDD, the current study was interested in examining the attention networks and executive functioning of those with MDD. Past research has used the Attention Network Test (ANT) to measure changes of attention in clinical vs. healthy populations; however, theoretical concerns have been raised regarding the task. The Combined Attention Systems Task (CAST) was developed to address these concerns and was used in our study in combination with quantitative-electroencephalography (QEEG) to assess both behavioural and neurophysiological changes in participants with MDD (n = 18) compared to healthy controls (HCs; n = 22). We found no behavioural differences between MDD and HC groups suggesting individuals with MDD in our sample were not experiencing the executive functioning deficits previously reported in the literature. Neurophysiological measures of attention revealed that MDD participants had greater theta and alpha activity relative to HCs, suggesting that although individuals with MDD do not show deficits in behavioural attention, they exhibit altered neural processing which underlies cognitive function.