Cognitive dysfunction is a major component of major depressive disorder (MDD). No ‘gold-standard’ tool exists for the assessment of cognitive dysfunction for adults with MDD. The use of measurement-based care to improve treatment outcomes invites the need for a systematic screening, evaluation and measurement tool. The aim herein was to provide a succinct summary of literature documenting clinical implication of cognitive dysfunction in MDD, and a review of available screening, diagnostic and measurement tools for cognitive dysfunction in MDD is provided. We also take the opportunity to introduce a screening tool (ie, the THINC-it tool) targeted at addressing the unmet needs. We found that there are limitations to the current measurement scales; for example, many are not targeted for MDD and not all digitally available tests are free of charge. Furthermore, the spectrum of cognitive dysfunction in MDD is poorly represented by the existing tests and as such, there is a lack of sensitivity in the ability to screen a patient with MDD for a cognitive dysfunction. Recognising and addressing the limitations in the current screening techniques for cognitive dysfunction as well as being presented with the current tools available provides the ability to perform an educated cognitive screening for a patient with MDD.