Objective: Cognitive disturbance is one of the major symptoms of depression and may be improved by treatment with antidepressants. This study aimed to investigate the predictors of cognitive improvement in patients with major depressive disorder (MDD) who were taking antidepressants. Methods: This study included 86 patients with MDD who completed 12 weeks of antidepressant monotherapy. Cognitive symptoms were assessed using the Perceived Deficits Questionnaire-Korean version (PDQ-K), which addresses four domains of cognitive functioning (attention/concentration, retrospective memory, prospective memory, and organization/ planning) and was administered at study entry and at the 12-week end point. A variety of demographic, clinical, and treatment-related variables were evaluated as predictors of changes in total and domain scores. Results: All PDQ-K domains showed significant improvement after 12 weeks of antidepressant treatment. More severe initial depressive symptoms, fewer sick-leave days at study entry, and reduced use of concomitant anxiolytics/hypnotics during treatment were significantly associated with greater cognitive improvement. Conclusion: Cognitive symptoms are more responsive to antidepressant treatment in patients with severe MDD. Reduced use of anxiolytics and hypnotics could improve the cognitive functioning of patients with MDD taking antidepressants.