Although many patients with major depressive disorder (MDD) complain of neurocognitive impairment, the effects of antidepressant medications on neurocognitive functions remain unclear. This study compares neurocognitive effects of tianeptine and escitalopram in MDD. Patients with MDD (N = 164) were randomly assigned in a 1:1 ratio to either tianeptine (37.5 mg/d) or escitalopram (10 mg/d) for 12 weeks. Outcome measures included clinical improvement, subjective cognitive impairment on memory and concentration, the Mini-Mental State Examination, the Continuous Performance Test, the Verbal Learning Test, and the Raven Progressive Matrices, assessed every 4 weeks. After 12 weeks, the tianeptine group showed significant improvement in commission errors (P = 0.002), verbal immediate memory (P < 0.0001), Mini-Mental State Examination (P < 0.0001), delayed memory (P < 0.0001), and reasoning ability (P = 0.0010), whereas the escitalopram group improved in delayed memory and reasoning ability but not in the other measures. Both groups significantly improved in subjective cognitive impairment in memory (P < 0.0001) and concentration (P < 0.0001). Mixed effects model repeated measures analyses revealed that the tianeptine group had a significant improvement in scores of commission errors (F = 6.64, P = 0.011) and verbal immediate memory (F = 4.39, P = 0.038) from baseline to 12 weeks, compared with the escitalopram group, after controlling for age, sex, education years, baseline scores, and changes of depression severity. The treatment of MDD with tianeptine led to more improvements in neurocognitive functions, especially in commission errors and verbal immediate memory, compared with escitalopram, after controlling for changes in depression severity. Both drugs improved subjective cognitive impairment of memory and concentration.