At present, most studies have shown that patients with depression have cognitive impairment, and there is a certain correlation between depression and cognitive impairment. Cognitive dysfunction has certain characteristic manifestations, such as executive function, attention and memory dysfunction. At the same time, the damage of depression to cognitive function involves some related factors, such as age, course of disease, frequency of onset and severity. Among them, the possible mechanisms may include hippocampal dysfunction, neuronal apoptosis and brain atrophy, frontoparietal neural circuits and default mode networks. Finally, it focuses on revealing suppression. The study on the relationship between depression and cognitive impairment can provide some reference for the intervention of cognitive dysfunction in depressive patients in the future.