Depression is the most frequent comorbid psychiatric condition among individuals with traumatic brain injury (TBI). Yet, little is known about changes in the brain associated with reduced depressive symptoms following rehabilitation for TBI. We identified whether cognitive training alleviates comorbid depressive symptoms in chronic TBI (>6 months post‐injury) as a secondary effect. Further, we elucidated neural correlates of alleviated depressive symptoms following cognitive training. A total of seventy‐nine individuals with chronic TBI (53 depressed and 26 non‐depressed individuals, measured using the Beck Depressive Inventory [BDI]), underwent either strategy‐ or information‐based cognitive training in a small group for 8 weeks. We measured psychological functioning scores, cortical thickness, and resting‐state functional connectivity (rsFC) for these individuals before training, immediately post‐training, and 3 months post‐training. After confirming that changes in BDI scores were independent of training group affiliation, we identified that the depressive‐symptoms group showed reductions in BDI scores over time relative to the non‐depressed TBI controls (p < .01). Within the depressive‐symptoms group, reduced BDI scores was associated with improvements in scores for post‐traumatic stress disorder, TBI symptom awareness, and functional status (p < .00625), increases in cortical thickness in four regions within the right prefrontal cortex (p
vertex < .01, p
cluster<.05), and decreases in rsFC with each of these four prefrontal regions (p
vertex < .01, p
cluster < .0125). Overall, these findings suggest that cognitive training can reduce depressive symptoms in TBI even when the training does not directly target psychiatric symptoms. Importantly, cortical thickness and brain connectivity may offer promising neuroimaging markers of training‐induced improvement in mental health status in TBI.