Cognitive impairment has been observed in patients with major depressive disorder (MDD). However, it remains unclear whether the deficits in specific cognitive domains are present in first-episode, drug-naïve patients or medicated patients. In the present study, using the CogState battery (CSB) Chinese language version, we evaluated the visual, working, and verbal memory in first-episode drug-naive patients and medicated patients with MDD in a Chinese population. We measured the cognitive function in first-episode drug-naïve patients (n = 36), medicated MDD patients (n = 71), and age- and sex-matched healthy control subjects (n = 59) in a Chinese population. The CSB composite scores in both first-episode drug-naive patients and medicated patients were significantly poorer than those in the healthy control subjects. The CSB sub-scores, including visual, working, and verbal memory were also significantly poorer in both patient groups than those in the healthy control subjects. In contrast, processing speed, attention/vigilance, executive function, spatial working memory, and social cognition were no different from healthy controls, whereas the executive function was significantly better in the medicated patients than in the healthy control subjects and first-episode drug-naïve patients. These findings suggest an impairment in the visual, working, and verbal memory in first-episode, drug-naive MDD patients in a Chinese population.