Major depressive disorder (MDD) is associated with significant cognitive dysfunction in both 'hot' (i.e. emotion-laden) and 'cold' (non-emotional) domains. Here we review evidence pertaining to 'hot' cognitive changes in MDD. This systematic review searched the PubMed and PsycInfo computerized databases in May 2014 augmented by hand searches of reference lists. We included original articles in which MDD participants (or their healthy first-degree relatives) and a healthy control group were compared on standard measures of emotional processing or reward/ punishment processing as well as systematic reviews and meta-analyses. A total of 116 articles met the inclusion criteria of which 97 were original studies. Negative biases in perception, attention and memory for emotional information, and aberrant reward/punishment processing occur in MDD. Imbalanced responses to negative stimuli in a fronto-limbic network with hyper-activity in limbic and ventral prefrontal regions paired with hypo-activity of dorsal prefrontal regions subserve these abnormalities. A cross-talk of 'hot' and 'cold' cognition disturbances in MDD occurs. Disturbances in 'hot cognition' may also contribute to the perpetuation of negative emotional states in MDD. Limited success in the identification of susceptibility genes in MDD has led to great research interest in identifying vulnerability biomarkers or endophenotypes. Emerging evidence points to the persistence of 'hot' cognition dysfunction during remission and to subtle 'hot' cognition deficits in healthy relatives of patients with MDD. Taken together, these findings suggest that abnormalities in 'hot' cognition may constitute a candidate neurocognitive endophenotype for depression.