Non-invasive brain stimulation (NIBS) techniques, such as repeated transcranial magnetic stimulation (rTMS) and transcranial direct current stimulation (tDCS), have been increasingly used in different contexts to improve cognitive performance and ameliorate depression symptoms. Considering that major depression is usually accompanied with cognitive deficits, NIBS techniques could be also helpful to improve cognition in depressed patients. In this systematic review, we looked for articles published in PubMed/MEDLINE from the first date available to June 2014 that assessed cognitive performance in patients with depression before and after NIBS. Out of 191 references, 25 (16 for rTMS and 9 for tDCS) studies matched our eligibility criteria. Non-invasive brain stimulation interventions such as rTMS and tDCS seem to be a promising tool for cognitive enhancement in MDD, although several issues and biases (e.g., blinding issues, tests without correction for multiple comparisons, placebo effects and exploratory analyses, practice effects) hinder us to conclude that NIBS is able to improve cognition in patients with depression. We discuss possible shortcomings of the included studies, such as the use of different depression treatment protocols, the possibility that some findings were false-positive results of the employed cognitive tasks and whether cognition improvement could have been an epiphenomenon secondary to depression improvement. To conclude, whereas these non-pharmacological, non-invasive techniques are particularly appealing for cognitive improvement in depression, further studies are still warranted to disentangle whether NIBS induce positive effects on cognition beyond of their antidepressant effects.