The effects of major depressive disorder (MDD) on neurocognitive function remain poorly understood. Results from published studies vary widely in terms of methodological factors, and very little is known about the effects of depression severity and other clinical characteristics on neurocognitive function. The purpose of this review was to synthesize prior research findings regarding neurocognitive functioning in patients with MDD and varying levels of depression severity and to provide recommendations for future directions. Overall, this review suggests that MDD has been inconsistently associated with neurocognitive functioning and there is limited understanding regarding the relationship between depression severity and neurocognitive sequelae. There was much heterogeneity on depression severity-related factors across studies assessing neurocognitive function in MDD, as well as substantial variability in the consideration of depression severity among studies, which suggests a need to further explore this important issue.