Depression is a relatively common agonizing psychiatric disorder that affects the way we feel and think about ourselves and the world around us. Cognitive theories of depression have long posited that various cognitive biases are involved in the development and recurrence of depression. However, the current cognitive theory of depression has been reformulated and expanded from the previous cognitive model of depression based on the results from pharmacological, neuroimaging and neurocognitive studies. This review summarizes the evidence for cognitive dysfunctions in depression and the related pharmacological, neuroanatomical and genetic aspects which aim to integrate our knowledge about the cognitive aspects of depression and its treatment. The newly formulated cognitive theory of depression provides directions for future investigation to identify people at risk, to minimize recurrence, and to maximize long-term beneficial outcomes for those suffering from depression.