Treatment-resistant depression (TRD) is usually defined as an insufficient response to ≥1 treatment considered adequate in terms of dosage, duration, and compliance, or the failure to respond to electroconvulsive therapy (ECT). Cognitive disturbances are the core symptoms of depression and TRD, and they significantly contribute to the poor functional outcomes and treatment resistance. Patients with TRD have moderate to large cognitive deficits in executive function, verbal learning and memory, attention, visual perception, conceptual transformation, attention conversion, logic reasoning, and problem-solving, in processing speed compared to non-TRD patients. The biological underpinning of cognitive deterioration in TRD is diverse, including alterations in different brain regions and circuits, lower levels of N-acetyl aspartate and the important role of inflammatory processes, while animal studies reveal the involvement of 5-HT1A and 5-HT2 serotonergic and α2C-AR adrenergic receptors. It is important to better elucidate the biological background of cognitive dysfunction in TRD to develop more personalized and targeted treatments. Some therapeutic strategies of cognitive dysfunction in TRD include pharmacotherapy, neuromodulation, psychotherapy, and cognitive remediation. Cognitive disturbances in TRD correspond to both obstacles and challenges, but future studies should incorporate cognitive measurements and therapeutic strategies with individual approach to specifically target cognitive impairment in TRD.