Major depressive disorder (MDD) is a debilitating mental disorder and the leading cause of disease burden. Major depressive disorder is associated with emotional impairment and cognitive deficit. Cognitive control, which is the ability to use perceptions, knowledge, and information about goals and motivations to shape the selection of goal-directed actions or thoughts, is a primary function of the prefrontal cortex (PFC). Psychotropic medications are one of the main treatments for MDD, but they are not effective for all patients. An alternative treatment is transcranial magnetic stimulation (TMS). Previous studies have provided mixed results on the cognitive-enhancing effects of TMS treatment in patients with MDD. Some studies have found significant improvement, while others have not. There is a lack of understanding of the specific effects of different TMS protocols and stimulation parameters on cognitive control in MDD. Thus, this review aims to synthesize the effectiveness of the TMS methods and a qualitative assessment of their potential benefits in improving cognitive functioning in patients with MDD. We reviewed 21 studies in which participants underwent a treatment of any transcranial magnetic stimulation protocol, such as repetitive TMS or theta-burst stimulation. One of the primary outcome measures was any change in the cognitive control process. Overall, the findings indicate that transcranial magnetic stimulation (TMS) may enhance cognitive function in patients with MDD. Most of the reviewed studies supported the notion of cognitive improvement following TMS treatment. Notably, improvements were predominantly observed in inhibition, attention, set shifting/flexibility, and memory domains. However, fewer significant improvements were detected in evaluations of visuospatial function and recognition, executive function, phonemic fluency, and speed of information processing. This review found evidence supporting the use of TMS as a treatment for cognitive deficits in patients with MDD. The results are promising, but further research is needed to clarify the specific TMS protocol and stimulation locations that are most effective.