Patients with major depressive disorder (MDD) usually suffer from altered cognitive functions of episodic memory, working memory, mental processing speed and motor response. Diverse studies suggest that different antidepressant agents may improve cognitive functions in patients with MDD. The aim of this work is to study the effects of serotonergic reuptake inhibitors (SSRIs) and serotonergic-noradrenergic reuptake inhibitors (SNRIs) treatments to improve the performance on memory tasks and mental processing speed in MDD. Seventy-three subjects meeting criteria for major depressive disorder were assessed with the Hamilton depression rating scale and a neuropsychological battery. The subjects were medicated with escitalopram (n=36) or duloxetine (n=37) for 24 weeks. At the end of the trial, the subjects were assessed again with the same neuropsychological battery used prior to the treatment. Both treatments improved importantly the episodic memory and to a lesser extent, working memory, mental processing speed and motor performance. Our results suggest that cognition is partially independent from improvement in clinical symptoms. Both groups achieved remission rates in the HAM-D-17 after 24 weeks of treatment, but SNRI was superior to SSRI at improving episodic and working memory. Our work indicates that the superiority of SNRI over the SSRI at episodic memory improvement is clinically relevant.