Magnetic seizure therapy (MST) has established efficacy in the treatment of depression and a growing evidence base in the treatment of depression. We conducted the first systematic review and meta-analysis of the efficacy of MST in anti-depressive treatment and its impact on cognitive function (INPLASY registration number: INPLASY202170061). We searched for controlled trials published in English between 1 January 2001 to 31 December 2020 in PubMed, EMBASE, Cochrane Library, Web of Science, and PsycINFO databases. The evaluation process strictly followed the Cochrane bias risk assessment tool into the literature, and Meta-analysis was performed according to the Cochrane System Reviewer’s Manual. Data from a total of 285 patients from 10 studies were retained in the quantitative synthesis. The results showed no significant difference between MST and ECT in the antidepressant effect (SDM −0.13 [−0.78;0.52]). Compared with ECT, MST showed shorter recovery time (MD −5.67 [−9.75; −1.60]) and reorientation time (MD −14.67 [−27.96; −1.41]); and MST showed less cognitive impairment on the immediate recall of words (SDM 0.80 [0.35;1.25]), delayed recall of words (SDM 0.99 [0.01;0.74]), visual-spatial immediate memory (SDM 0.51 [0.20;0.83]), visual-spatial delayed memory (SDM 0.57 [0.11;1.02]), and the verbal fluency (SDM 0.51 [0.20;0.83]). Our evidence-based study is the first meta-analysis on the efficacy of MST in anti-depressive treatment and its effect on cognitive function. It showed that the curative effect of MST in anti-depressive treatment is equivalent to that of ECT. Besides, depressive patients with MST benefit more from cognitive function compared with ECT.