Cognitive impairment is common in multiple sclerosis (MS), affecting up to 70% of patients. One of the most important possible confounders to cognitive assessment is the occurrence of depression, a common consequence of MS. Cognition and depression have been linked in recent neuropsychiatric research that proposed a number of neurocognitive models of mood disorders. According to these models, primary failure of key brain regions of emotional processing and regulation or abnormal connectivity between them contributes to the adoption of maladaptive cognitive strategies and the development of mood disorders. In MS, a similar interplay between cognitive function and depression has been reported. In particular, depression seems to alter attentional capacity in terms of deficits in working memory and, more specifically, deficits in the executive control. However, cognitive impairment in MS does exist also in the absence of depression and it is more likely that depression exacerbates existing cognitive difficulties rather than cause them per se. On the other hand, it is possible that a dysexecutive syndrome secondary to MS might in turn precipitate depression.