Mood disorders collectively account for a substantial proportion of disease burden across the globe and have a devastating impact on quality of life and occupational function. Here we evaluate recent progress in understanding the neurocognitive mechanisms involved in the manifestation of mood disorders. We focus on four domains of cognitive function that are altered in patients with depression: executive control, memory, affective processing, and feedback sensitivity. These alterations implicate a distributed neural circuit composed of multiple sectors of the prefrontal cortex in interaction with subcortical regions (striatum, thalamus) and temporal lobe structures (amygdala, hippocampus). Affective processing and feedback sensitivity are highly sensitive to serotonergic manipulation and are targeted by antidepressant treatments. By drawing together cognitive, neuroanatomical, and pharmacological tiers of research, we identify treatment targets and directions for future investigation to identify people at risk, minimize relapse, and maximize long-term beneficial outcomes for those suffering from depression.