Cognitive deficits are often associated with acute depressive episodes and contribute to the functional impairment seen in patients with Major Depressive Disorder (MDD). Many patients sustain residual cognitive deficits after treatment that may be independent of the core MDD disorder. We tracked changes in cognitive deficits relative to antidepressant treatment response using the patient self-rated Massachusetts General Hospital Cognitive and Physical Functioning Questionnaire (MGH-CPFQ) during a 6-week, double-blind trial of a combination antidepressant treatment (buspirone 15 mg with melatonin-SR 3 mg) versus buspirone (15 mg) monotherapy versus placebo in MDD patients with acute depressive episodes. The CPFQ includes distinct cognitive and physical functioning dimension subscales. Treatment response was determined using the Inventory of Depressive Symptomatology (IDSc30). Treatment responders improved significantly more on the total CPFQ than non-responders (p < 0.0001) regardless of treatment assignment. The cognitive dimension of the CPFQ score favored the combination treatment over the other two groups (ANCOVA: p = 0.050). Among the treatment non-responders, the effect size for the CPFQ cognitive dimension was 0.603 favoring the combination treatment over the over two groups and 0.113 for the CPFQ physical dimension. These preliminary findings suggest that a combination of buspirone with melatonin may benefit cognitive function distinct from mood symptoms and that some aspects of cognition may be specific targets for treatment within a population of patients with MDD.