Youth depression is often associated with impairments in cognitive function, especially in executive function. This study examines the effect of an 8-session-long mindfulness training that can improve executive function in youth with depression. Sixty youths (age range 15-27 years) with depression were selected as participants and were randomized into a mindfulness training group (MTG) and a waitlist-control group (WCG). The MTG received an 8-week mindfulness training while the WCG received no intervention. Both groups performed the Stroop, N-back, and More-odd shifting tasks at baseline and after eight weeks to examine inhibitory control, working memory, and cognitive flexibility of executive function, respectively. The results showed that mindfulness training significantly reduced the Stroop effect size for MTG (p < 0.001), but the effect on the switching cost was not statistically significant (p = 0.975). There was an age effect of mindfulness training on working memory. For young adults, mindfulness training improved accuracy on the N-back task (p < 0.01) and shortened reaction time, although this effect slightly exceeded the significance level (p = 0.075). However, mindfulness training failed to improve the working memory of adolescents with depression. In conclusion, mindfulness training improved inhibitory control in youth with depression. It also improved working memory in young adults with depression, but future studies with large samples are needed to validate the improvement in working memory.