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The aim of this study was to examine the role of perceived sleep quality in predicting subjective as well as objective cognitive function in adults with major depressive disorder (MDD).Adults with recurrent MDD (n = 100) experiencing a major depressive episode of at least moderate severity and age-, sex-, and education-matched healthy controls (HC) (n = 100) were recruited to participate in a clinical trial validating the THINC-integrated tool (THINC-it; NCT02508493) for cognitive function. The THINC-it includes subjective and objective measures of cognitive function. Sleep quality was assessed using the Pittsburgh Sleep Quality Index (PSQI).Compared with HC, individuals with MDD reported significantly poorer sleep quality, as assessed by domain and global PSQI scores (all P values < .05). Both perceived sleep quality (P < .001) and depression severity (P = .002) were found to independently predict impairments in subjective cognitive performance. Only perceived sleep quality predicted objective cognitive impairments (P = .017). Exploratory mediation analysis revealed depression severity to be a partial mediator of the relationship between perceived sleep quality and subjective cognitive performance (95% confidence interval [CI]: −0.56, −0.33).The results indicate that the subjective and objective cognitive impairments are differentially related to perceived sleep quality and depression severity and emphasize the importance of treating sleep disturbances in MDD.