In this review, we summarize the current knowledge of neurocognitive mechanisms in depression and their fundamental theories. We first introduce follow-up studies and biomarkers of cognitive impairment in depression, and then we review important findings in depression research across major psychological function domains, including memory and executive function. We focus on research regarding the neurobiological correlates of cognitive impairment in depression. Next, we review several psychological models that may explain how cognitive impairment is related to depression. Finally, we review the underlying neural, vascular, and integrated biological mechanisms underlying cognitive impairment and depression.