Background: The neural mechanisms affecting risk for and resilience to depression are largely unknown. Modern neuropsychological models of depression posit that negatively biased emotional (hot) processing confers risk for depression, while preserved non-emotional (cold) cognition might promote resilience. However, few studies have compared neural responses during hot and cold cognitive tasks in samples at high-risk for depression and those currently experiencing a major depressive episode. Methods: We recruited 99 participants: 39 unmedicated currently-depressed patients, 30 unaffected first-degree relatives of depressed individuals, and 30 matched healthy controls with no first-degree relatives with depression. Primary analyses assessed neural activation on two functional magnetic resonance imaging tasks previously associated with depression: dorsolateral prefrontal cortex (DLPFC) responsivity during the N-back working memory task; and amygdala and subgenual anterior cingulate cortex (sgACC) responsivity during incidental emotional face processing. Outcomes: Depressed patients exhibited significantly attenuated working memory-related DLPFC activation, compared to both healthy volunteers and unaffected relatives; unaffected relatives did not differ from healthy volunteers. We did not observe a complementary pattern during emotion processing. Interpretation: These findings have important implications for understanding the neural mechanisms of risk and resilience in depression. Specifically, they are consistent with the proposal that preserved cold cognitive function may confer resilience to developing depression in at-risk individuals. However, this requires confirmation in longitudinal studies. Funding: This work was supported by the Brain and Behavior Research Foundation (grant number 20162) to JPR and a Brain Research Trust PhD studentship awarded to CLN. Conflict of Interest: JPR consults for Cambridge Cognition and Takeda Ltd. The other authors report no conflict of interest. Ethical Approval Statement: The authors assert that all procedures contributing to this work comply with the ethical standards of the relevant national and institutional committees on human experimentation and with the Helsinki Declaration of 1975, as revised in 2008.