The prevalence of major depressed disorder increased rapidly in recent year all over the world and has become a heavy burden of society. So research on depression has become a hot topic. A great amount of studies found that patients with major depression disorder had impaired cognition. Cognitive dysfunction, the important symptom of depression, has been regarded as not only an indicator of illness, but also an obstacle to the elimination of depressive mood and the overall recovery of the disease. Exploring cognitive dysfunction and the potential brain mechanism meant significantly to understanding the etiology of major depression disorder, which could benefit the prevention, diagnosis, treatment of this mental disease. Therefore, the current research aimed to discuss cognitive dysfunction, the potential brain mechanism of the impaired dysfunction as well as the molecular factors behind major depression disorder, try to threw light on the abnormal macro-brain activity and micro-molecular marker of major depression disorder. The literatures showed that patients with major depression disorder had abnormalities in executive function, attention, memory and reaction speed. Deficit in executive function was mainly related to abnormality in prefrontal lobe and the connected subcutaneous nuclei; attention deficits had connection with abnormality in the frontal network connection, occipital lobe and cingulate gyrus; and memory defects are corresponded to abnormality in the hippocampus, cingulate gyrus, and medial temporal cortex. In addition, the abnormal neurotransmitters or brain-derived neuronal factors, and long-term stress state may also be the cause of depressive symptoms and abnormal cognitive levels. At present, the study of brain structure is relatively rough, mainly focusing on the changes in a big brain area, such as the hippocampus, prefrontal cortex, etc. In the future, high-resolution magnetic resonance imaging technology are needed to study more refined brain structures, such as CA1-3, entorhinal cortex to provide biological targets for neuromodulation treatment of various non-pharmacological interventions. Future studies also need to balance as much as possible irrelevant variables such as disease progression, severity of depression, gender, and neuropsychological tests. Besides, the causal link between neuroimaging and molecular biomarkers and depression remains unclear and longitudinal studies should be taken into consideration. As for clinical studies, we suggested to improve the traditional criteria of mental illness classification by combining the biological abnormality found by research evidence. Specifically, future studies of major depression disorder can consider cognitive dysfunctions assessed by psychological cognitive tasks; multimodal brain image and neurophysiological data to construct multidimensional computational modeling, in order to systematically explore potential biomarkers of depression, further identify the subtypes of depression. New classification criteria would provide full understanding of the pathogenesis as well as individual diagnosis and treatment of major depression disorder.