Whether individuals with mild cognitive impairment (MCI) and a history of major depressive disorder (MDD) are at a higher risk for cognitive decline than those with MCI alone is still not clear. Previous work suggests that a reduction in prefrontal cortical theta phase-gamma amplitude coupling (TGC) is an early marker of cognitive impairment. This study aimed to determine whether using a TGC cutoff is better at separating individuals with MCI or MCI with remitted MDD (MCI+rMDD) on cognitive performance than their clinical diagnosis. Our hypothesis was that global cognition would differ more between TGC-based groups than diagnostic groups. We analyzed data from 128 MCI (mean age: 71.8, SD: 7.3) and 85 MCI+rMDD (mean age: 70.9, SD: 4.7) participants. Participants completed a comprehensive neuropsychological battery; TGC was measured during the N-back task. An optimal TGC cutoff was determined during the performance of the 2-back. This TGC cutoff was used to classify participants into low vs. high-TGC groups. We then compared Cohen's d of the difference in global cognition between the high and low TGC groups to Cohen's d between the MCI and MCI+rMDD groups. We used bootstrapping to determine 95% confidence intervals for Cohen's d values using the whole sample. As hypothesized, Cohen's d for the difference in global cognition between the TGC groups was larger (0.64 [0.32, 0.88]) than between the diagnostic groups (0.10 [0.004, 0.37]) with a difference between these two Cohen's d's of 0.54 [0.10, 0.80]. Our findings suggest that TGC is a useful marker to identify individuals at high risk for cognitive decline, beyond clinical diagnosis. This could be due to TGC being a sensitive marker of prefrontal cortical dysfunction that would lead to an accelerated cognitive decline.