There is evidence to suggest that cognitive deficits might persist beyond the acute stages of illness in major depressive disorder (MDD). However, the findings are somewhat inconsistent across the individual studies conducted to date. Our aim was to conduct a systematic review and meta-analysis of existing studies that have examined cognition in euthymic MDD patients. Method Following a systematic search across several publication databases, meta-analyses were conducted for 27 empirical studies that compared euthymic adult MDD patients (895 participants) and healthy controls (997 participants) across a range of cognitive domains. The influence of demographic variables and confounding factors, including age of onset and recurrent episodes, was examined. Results Compared with healthy controls, euthymic MDD patients were characterized by significantly poorer cognitive functions. However, the magnitude of observed deficits, with the exception of inhibitory control, were generally modest when late-onset cases were excuded. Late-onset cases demonstrated significantly more pronounced deficits in verbal memory, speed of information processing and some executive functions. Conclusions Cognitive deficits, especially poor response inhibition, are likely to be persistent features, at least of some forms, of adult-onset MDD. More studies are necessary to examine cognitive dysfunction in remitted psychotic, melancholic and bipolar spectrum MDD. Cognitive deficits overall appear to be more common among patients with late-onset depression, supporting the theories suggesting that possible vascular and neurodegenerative factors play a role in a substantial number of these patients.