The study recruited 168 patients diagnosed with major depressive disorder (MDD). The nine-item Patient Health Questionnaire (PHQ-9) and Perceived Deficits Questionnaire for Depression (PDQ-D) were lower and the Digit Symbol Substitution Test (DSST) was higher in the community volunteers than those in MDD patients. Depression-related scores (17-item Hamilton Depression Rating Scale [HAMD-17], Clinical Global Impressions-Severity of Illness Scale [CGI-S], and PHQ-9), functioning-related scores (Sheehan Disability Scale [SDS]), and Work Efficiency and Activity Damage-Specific Health Problems questionnaire work productivity loss were decreased, and the quality of life-related scores (European Quality of life-5 Dimensions [EQ-5D] utility score) were increased in the MDD patients. PDQ-D was decreased and DSST was increased with the increase of follow-up time. Linear regression indicated that cognitive symptoms (PDQ-D and DSST) improved more slowly than depressive symptoms (PHQ-9). At baseline, PDQ-D was related with functioning (SDS and work productivity loss). PDQ-D and DSST were related with EQ-5D utility score. In addition, at month 6, PDQ-D was related with functioning (SDS and work productivity loss) and EQ-5D utility score. Cognitive impairment might be a risk for MDD and MDD-related changes in the functioning and quality of life.