Background: Depressive symptoms have been associated with cognitive impairment after stroke, and women may be specifically affected. Objective: The aim of this study was to investigate gender-specific characteristics in the relationship between changes in depression severity and changes in cognitive performance after stroke. Methods: We prospectively evaluated 73 patients without a previous history of depression in the first and fourth months after a first ischemic stroke. The severity of depressive symptoms was assessed using the 31-item version of the Hamilton Rating Scale for Depression, and executive function, attention, working memory, and verbal fluency were assessed using a neuropsychological battery. Results: We included 46 (63.0%) men and 27 (36.9%) women, with mean ages of 55.2 (SD ± 15.1) and 46.8 (SD ± 14.7) years, respectively. We found significant improvement in the digit span forward and Stroop dots from month 1 to month 4 post stroke for both men and women. Women, but not men, presented a correlation between changes in phonemic verbal fluency and changes in the 31-item version of the Hamilton Rating Scale for Depression scores. Improvement in depression was correlated with improvement in verbal fluency, and worsening in depression was correlated with worsening in verbal fluency. Conclusions: Our results suggest that women might be more vulnerable to the relationship between depressive symptoms and cognitive performance, and improvement of depression may be necessary for women’s improvement in phonemic verbal fluency from the first to the fourth month after a stroke. We did not adjust the results for multiple comparisons. Thus, our findings might be considered preliminary, and confirmatory studies, also focusing on specific characteristics of women that could explain these differences, are warranted.