Major depression (MD) is increasingly prevalent worldwide and more practical treatments are in demand. Discovering its mechanisms and affective factors could help in finding better treatment and understanding how each individuals differences affect the mechanisms. This article focuses on discovering the relationship between depression and neuroscience, particularly on the cognitive aspect, emotion regulation, and brain structure. Three main executive functions in cognitive function, including updating, shifting, and inhibition are analyzed. Moreover, this paper indicates the relationship between dorsal anterior cingulate cortex (ACC) and posterior cingulate cortex (PCC) in the brain structure and depression by using functional magnetic resonance imaging (fMRI). With integrated information providing insights, several notable factors and mechanisms have been found. This proves that cognitive executive processes have a direct impact on emotion, where updating working memory can reduce the effects of negative emotions; however, shifting impairment tends to experience emotional dysregulation, and inhibitory deficits may impair adaptive emotion regulation processes. In addition, the prefrontal cortex (PFC) region of the brain structure manages the functions of emotion regulation and cognitive regulation. In a parallel understanding, cognitive dysfunction is associated with dynamic emotional states and MD psychopathology. Based on these findings, several possible treatments are subsequently put forward. Meanwhile, researchers discovered new directions to examine the relations between MD and neuroscience.