The aim of this study was to investigate the effectiveness of cognitive behavioral therapy (CBT) on improving the cognitive function in minor depression (MiD) and major depression (MaD). The study will constitute a placebo-controlled single-blind parallel-group randomized controlled trial. The selected participants will be randomly allocated into one of two parallel groups with a 1:1 ratio: the CBT-based group and the general health education group. CBT significantly alleviated depressive symptoms of MiD and MaD at 12 weeks (p < 0.001), and the treatment effect was maintained for at least 12 months (p < 0.001). Interestingly, CBT significantly promotes more cognitive function of MiD and partial cognitive function of MaD at 12 weeks in the intervention group than in the control group (p < 0.01). CBT can alleviate depressive symptoms of both minor and MaDs. The effectiveness of CBT is different on improving the cognitive function in MiD and MaD.