Major depressive disorders (MDD) exhibit cognitive dysfunction with respect to attention. The deficiencies in cognitive control of emotional information are associated with MDD as compared to healthy controls (HC). However, the brain mechanism underlying emotion that influences the attentional control in MDD necessitates further research. The present study explores the emotion-regulated cognitive competence in MDD at a dynamic attentional stage. Event-Related Potentials (ERPs) were recorded from 35 clinical MDD outpatients and matched HCs by applying a modified affective priming dot-probe paradigm, which consisted of various emotional facial expression pairs. From a dynamic perspective, ERPs combined with sLORETA results showed significant differences among the groups. In compared to HC, 100 ms MDD group exhibited a greater interior-prefrontal N100, sensitive to negative-neutral faces. 200 ms MDD showed an activated parietal-occipital P200 linked to sad face, suggesting that the attentional control ability concentrated on sad mood-congruent cognition. 300 ms, a distinct P300 was observed at dorsolateral parietal cortex, representing a sustained attentional control. Our findings suggested that a negatively sad emotion influenced cognitive attentional control in MDD in the early and late attentional stages of cognition. P200 and P300 might be predictors of potential neurocognitive mechanism underlying the dysregulated attentional control of MDD.