Data show that up to 38.2% of the European population have a mental disorder and that recurrent depressive disorder (rDD) is among the most commonly diagnosed disabling diseases. Over the last few years, neurocognitive impairments in rDD have become a new research front focusing on the role of cognitive decline during the course of rDD and in relation to its clinical presentation and prognosis. Both immune-inflammatory and oxidative and nitrosative stress (O&NS) processes potentially play a role in development of cognitive dysfunction in rDD. New evidence shows that chronic inflammatory and O&NS reactions occur in the brains of patients with neurodegenerative disorders and those with rDD. This narrative review presents the current state of knowledge on the possible impact of selected inflammatory and O&NS enzymes on cognitive functioning in patients with rDD. We focus on manganese superoxide dismutase (MnSOD), inducible nitric oxide synthase (iNOS), and myeloperoxidase (MPO).