Depression is theorized to be caused in part by biased cognitive processing of emotional information. Yet, prior research has adopted a reductionist approach that does not characterize how biases in cognitive processes such as attention and memory work together to confer risk for this complex multifactorial disorder. Grounded in affective and cognitive science, we highlight four mechanisms to understand how attention biases, working memory difficulties, and long-term memory biases interact and contribute to depression. We review evidence for each mechanism and highlight time- and context-dependent dynamics. We outline methodological considerations and recommendations for research in this area. We conclude with directions to advance the understanding of depression risk, cognitive training interventions, and transdiagnostic properties of cognitive biases and their interactions.