Attention is the gate through which sensory information enters our conscious experiences. Oftentimes, patients with major depressive disorder (MDD) complain of concentration difficulties that negatively impact their day-to-day function, and these attention problems are not alleviated by current first-line treatments. In spite of attention’s influence on many aspects of cognitive and emotional functioning, and the inclusion of concentration difficulties in the diagnostic criteria for MDD, the focus of depression as a disease is typically on mood features, with attentional features considered less of an imperative for investigation. Here, we summarize the breadth and depth of findings from the cognitive neurosciences regarding the neural mechanisms supporting goal-directed attention in order to better understand how these might go awry in depression. First, we characterize behavioral impairments in selective, sustained, and divided attention in depressed individuals. We then discuss interactions between goal-directed attention and other aspects of cognition (cognitive control, perception, and decision-making) and emotional functioning (negative biases, internally-focused attention, and interactions of mood and attention). We then review evidence for neurobiological mechanisms supporting attention, including the organization of large-scale neural networks and electrophysiological synchrony. Finally, we discuss the failure of current first-line treatments to alleviate attention impairments in MDD and review evidence for more targeted pharmacological, brain stimulation, and behavioral interventions. By synthesizing findings across disciplines and delineating avenues for future research, we aim to provide a clearer outline of how attention impairments may arise in the context of MDD and how, mechanistically, they may negatively impact daily functioning across various domains.