Background: Cognitive dysfunctions play a critical role in the psychopathology of depression. They regulate various psychosocial and functional outcomes and affect workplace functionality, productivity, and relapses. An objective evaluation of affected cognitive domains is germane in understanding the relapses and functional recovery in depression. Thus, to know cognitive dysfunctions beyond affective biases, this study was conducted to compare the cognitive functions of drug-naïve patients with unipolar depression with healthy matched controls. Methods: Fifty patients diagnosed with unipolar depression as per the International Classification of Diseases, tenth revision: Diagnostic Criteria for Research (Depressive Episode and Recurrent Depressive Disorder) and 50 healthy controls were enrolled on an outpatient basis from January 2022 to June 2023. Cases were regrouped as mild, moderate, and severe based on Beck’s Depression Inventory (BDI-II). A battery of tests assessed the cognitive functions: Wisconsin Card Sorting Test, Trail Making Test, Visual Retention subtests of PGI Battery of Brain Dysfunction, Digit Span, and Verbal Memory. The Massachusetts General Hospital Cognitive and Physical Functioning Questionnaire was used for a subjective assessment of cognitive functioning. Results: The sociodemographic characteristics of cases and controls did not differ significantly. However, within-group and between-group analyses revealed significantly lower performance of cases compared to controls. Cognitive impairment was positively correlated with BDI-II scores. Conclusion: Depression is associated with dysfunction in the domains of planning, attention, sustained attention, and visual and verbal memory. This dysfunction is independent of cognitive and affective bias and may exist even after clinical remission.