Numerous studies have shown that Major Depressive Disorder (MDD) in adults is associated with deficits in cognitive control. Particularly, impairment on executive function (EF) tasks has been observed. Research into EF deficits in children and adolescents with MDD has reported mixed results and it is currently unclear whether paediatric MDD is characterised by impairments in EF and attention. PsycInfo, Scopus and Medline were systematically searched to identify all studies that have investigated EF and attention in paediatric depressive disorders between 1994 and 2014. 33 studies meeting inclusion/exclusion criteria were identified. While across different domains of EF some studies identified a deficit in the clinical group, the majority of studies failed to find deficits in response inhibition, attentional set shifting, selective attention, verbal working memory, and verbal fluency. More research is needed to clarify the relationship between depressive disorders in children and adolescents and spatial working memory processing, sustaining attention, planning, negative attentional bias and measures of 'hot' EF. There is little support for EF deficits in paediatric depression. However, there are numerous methodological problems that may account for null findings. Alternatively, chronicity and/or severity of symptoms may explain discrepancies between cognitive deficits in adult and paediatric MDD. Recommendations for future studies are discussed.