Major Depressive Disorder (MDD) often is associated with significant cognitive dysfunction. We conducted a meta-analysis of genome-wide interaction of MDD and cognitive function using data from 4 large European cohorts in a total of 3510 MDD cases and 6057 controls. In addition, we conducted analyses using polygenic risk scores (PRS) based on data from the Psychiatric Genomics Consortium (PGC) on the traits of MDD, Bipolar disorder (BD), Schizophrenia (SCZ), and mood instability (MIN). Functional exploration contained gene expression analyses and Ingenuity Pathway Analysis (IPA®). We identified a set of significantly interacting single nucleotide polymorphisms (SNPs) between MDD and the genome-wide association study (GWAS) of cognitive domains of executive function, processing speed, and global cognition. Several of these SNPs are located in genes expressed in brain, with important roles such as neuronal development (
REST
), oligodendrocyte maturation (
TNFRSF21
), and myelination (
ARFGEF1
). IPA® identified a set of core genes from our dataset that mapped to a wide range of canonical pathways and biological functions (
MPO
,
FOXO1
,
PDE3A
,
TSLP
,
NLRP9
,
ADAMTS5
,
ROBO1
,
REST
). Furthermore, IPA® identified upstream regulator molecules and causal networks impacting on the expression of dataset genes, providing a genetic basis for further clinical exploration (vitamin D receptor, beta-estradiol, tadalafil). PRS of MIN and meta-PRS of MDD, MIN and SCZ were significantly associated with all cognitive domains. Our results suggest several genes involved in physiological processes for the development and maintenance of cognition in MDD, as well as potential novel therapeutic agents that could be explored in patients with MDD associated cognitive dysfunction.