Objective To investigate whether the DT performance can be affected by the diagnosis of major depressive disorder (MDD) and Alzheimer’s disease (AD). Methods Cross-sectional data with 108 individuals [Healthy (HE) = 56, MDD =19, AD = 33] aged 60 and older of both sexes diagnosis with AD, MDD, and HE without a clinical diagnosis of mental disorders, residents of the city of Rio de Janeiro. DT performance, was measured by mean velocity (m/s), DT cost and the number of evoked words (DTanimals). One-way ANOVA was used to compare groups. In addition, a logistic regression was used to verify the association between the performance in the DT variables and the risk of MD and AD, controlled by age and scholarity. Results There was a significant difference between the HE and AD groups in the DT variables. The worst performance in the DTC and DTanimals variables increased risk of AD, regardless of age and scholarity (DTC, OR = 5.6, 95% CI = 1.4-22.2, p = 0.01 and DTanimals, OR = 3.6, 95% CI = 0.97-14.0, p = 0.05). Conclusion The ability to perform two tasks simultaneously appears to be impaired in patients with Alzheimer’s disease, and unaffected by the major depressive disorder.