Cognitive impairment is a symptomatic area of many mental disorders. Cognitive impairment in patients with depression is an important cause of occupational and functional disability. Multiple interacting neurobiological mechanisms （such as neuroinflammation） are related to cognitive deficits in depression. This paper summarizes a variety of biological mechanisms related to cognitive function of depression， including brain mechanism， neurotransmitter system， neuroendocrine system， inflammatory response and neurotrophic factors， and analyzes the research progress of biological mechanism of patients with depression complicated with cognitive impairment. At present， there is still a lack of in-depth exploration of cognitive impairment of depression in China and abroad. The future direction is to integrate the nervous system， endocrine system and immune system and further explore the biological mechanism of cognitive impairment of depression.