Although cognitive dysfunction is associated with depression in adults, the link in children and adolescents is unclear. This systematic review and meta-analysis quantifies the association between depression and cognitive function in children and adolescents. Systematic searches were conducted in six databases: Child Development and Adolescent Studies, Ovid MEDLINE, Ovid Embase, Ovid APA PsycINFO, EBSCO CINAHL Plus, Scopus (last search: April 2023). Studies including measures of cognitive outcomes (memory, attention, executive function, processing speed, language) among children (≤18 years) with depression were included. The Joanna Briggs Institute Critical Appraisal Tools were used to determine study risk of bias. Random-effects meta-analyses of study outcomes were performed. Seventeen studies were included (15 were cross-sectional, 1 prospective, 1 randomized control trial). Participants (N = 13,567) were 10 to 17 years old (mean 13.8 ± 2.2 years; 60 % female). Compared with healthy controls, depressed participants had lower performance on tests of working memory (g = -0.40; 95 % CI: -0.67, -0.13), long-term memory (g = -0.48; 95 % CI: -0.72, -0.25), attention (g = -0.15; 95 % CI: -0.26, -0.04), executive function (g = -0.16; 95 % CI: -0.24, -0.08), and language (g = -0.23; 95 % CI: -0.36, -0.09). No performance differences were observed on tests of short-term memory or processing speed. Children and adolescents with depression demonstrated lower performance on tests of working and long-term memory, attention, executive function and language. These findings emphasize the importance of considering cognitive functioning among children with depression, and greater understanding of the effect of treatment on these outcomes. PROSPERO (CRD42022332064).