Although major depressive disorder is primarily considered a mood disorder, depressed patients commonly present with clinically significant cognitive dysfunction that may add to their functional disability. This review paper summarizes the available preclinical data on the effects of antidepressants, including monoamine reuptake inhibitors and the multimodal antidepressant vortioxetine, in behavioral tests of cognition such as cognitive flexibility, attention, and memory, or in potentially cognition-relevant mechanistic assays such as electroencephalography, in vivo microdialysis, in vivo or in vitro electrophysiology, and molecular assays related to neurogenesis or synaptic sprouting. The available data are discussed in context with clinically relevant doses and their relationship to target occupancy levels, in order to evaluate the translational relevance of preclinical doses used during testing. We conclude that there is preclinical evidence suggesting that traditional treatment with monoamine reuptake inhibitors can induce improved cognitive function, for example in cognitive flexibility and memory, and that the multimodal-acting antidepressant vortioxetine may have some advantages by comparison to these treatments. However, the translational value of the reviewed preclinical data can be questioned at times, due to the use of doses outside the therapeutically-relevant range, the lack of data on target engagement or exposure, the tendency to investigate acute rather than long term antidepressant administration, and the trend towards using normal rodents rather than models with translational relevance for depression. Finally, several suggestions are made for advancing this field, including expanded use of target occupancy assessments in preclinical and clinical experiments, and the use of translationally valuable techniques such as electroencephalography.