Background: Studies have implicated hypofrontality in the pathogenesis of impaired theory of mind (ToM) and executive function (EF) in major depressive disorder (MDD). These symptoms are usually resistant to treatment. Repetitive transcranial magnetic stimulation (rTMS) has been shown to reverse hypofrontality. Moreover, BDNF is an effective biomarker of antidepressant effects, but there have been very few studies on the correlation between BDNF and rTMS. We aimed to evaluate the efficacy of 20 sessions of a 10 Hz unilateral rTMS intervention over the left dorsolateral prefrontal cortex (DLPFC) in improving ToM and EF in patients with MDD and its correlation with BDNF. Methods: A total of 120 MDD patients were enrolled in this randomized, sham-controlled, double-blind trial. Each participant received 20 sessions of rTMS at 10 Hz frequency through the active or the sham coil over 4 weeks. ToM was assessed with the facial emotion identification test (FEIT) and hinting task (HT). EF was assessed with the Wisconsin card sorting test (WCST). BDNF assessments were carried out at baseline and 2-, 4-, 12-, and 24-week follow-ups. Results: The improvement in the ToM (FEIT, HT) in the active rTMS group was significantly different from that in the sham rTMS group (F = 18.09, p < 0.001; F = 5.02, p = 0.026). There were significant differences in the WCST (categories completed, response errors, response perseverative errors, non-response perseverative errors) after logarithmic transformation at different time points in the active rTMS group (F = 14.71, p < 0.001; F = 5.99, p = 0.046; F = 8.90, p = 0.031; F = 2.31, p = 0.048). However, there was no significant difference in log transformed BDNF concentration between the two groups (t = 0.07 to t = 1.29, p > 0.05). BDNF was negatively correlated with WCST categories completed at the 24th week (r = −0.258, p = 0.046). Conclusions: The results show that rTMS may improve the ToM and EF of patients with MDD and there was no significant correlation with serum BDNF concentration. RTMS can not only be used for treatment of patients with MDD but also has a positive effect on ToM and EF.