Cognitive dysfunction is associated with functional impairment of patients with Major Depressive Disorder (MDD). The goals were to explore the associated factors of cognitive impairment in MDD and to develop and validate a brief and culture-relevant questionnaire, the Taiwan Cognition Questionnaire (TCQ), among patients with MDD. This was a cross-sectional, multi-center observational study of MDD patients in Taiwan. Participants of Group 1 from 10 centers contributed to the validation of the TCQ by their response and sociodemographics. The participants of Group 2 from one center received an objective cognitive assessment for clarification of the relationship between the TCQ score and its associated factors. In Group 1, 493 participants were recruited. As for Group 2, an extra 100 participants were recruited. The global Cronbach’s alpha for the TCQ was 0.908. According to the coordinates of the ROC curve, 9/10 was the ideal cut-off point. With the criteria, the sensitivity/specificity of the TCQ was 0.610/0.689. The TCQ score was positively associated with a history of being admitted to acute psychiatric care and the severity of depression and negatively associated with objective cognitive measures. The TCQ provides a reliable, valid, and convenient measure of subjective cognitive dysfunction in patients with MDD.