Cognitive impairment is one of the important clinical manifestations in depression. The particularly vulnerable cognition domains included executive function, attention, memory, and processing speed. Depression with cognitive impairment is not only a predictor of poor efficacy, but also closely related to dementia. Previous studies have suggested that multiple physiological mechanisms may be altered between depression and cognitive impairment. With the rapid development of neuroimaging technology, resting state functional magnetic resonance imaging has been widely used to explore the neurobiological mechanisms of depression and cognitive impairment. After reviewing the resting-state functional MRI manifestations of the comorbidity, it was found that the default mode network, cognitive control network, and salience network were activated or weakened in the brain. In addition, the inter-network functional connectivity was altered with the co-existence of impairment and compensation. The aforementioned changes of brain function are expected to be the therapeutic targets for depression with cognitive dysfunction.