Depression incurs a huge personal and societal burden, impairing cognitive and social functioning and affecting millions of people worldwide. A better understanding of the biological basis of depression could facilitate the development of new and improved therapies. Rodent models have limitations and do not fully recapitulate human disease, hampering clinical translation. Primate models of depression help to bridge this translational gap and facilitate research into the pathophysiology of depression. Here we optimized a protocol for administering unpredictable chronic mild stress (UCMS) to non-human primates and evaluated the influence of UCMS on cognition using the classical Wisconsin General Test Apparatus (WGTA) method. We used resting-state functional MRI to explore changes in amplitude of low-frequency fluctuations and regional homogeneity in rhesus monkeys. Our work highlights that the UCMS paradigm effectively induces behavioral and neurophysiological (functional MRI) changes in monkeys but without significantly impacting cognition. The UCMS protocol requires further optimization in non-human primates to authentically simulate changes in cognition associated with depression.