Cross-sectional and longitudinal studies exploring clinical, functional and biological correlates of Major depressive disorder are frequent. In this type of research, depression is most commonly defined as a categorical diagnosis based on studies using diagnostic instruments. Given the phenotypic and biological heterogeneity of depression, we chose to focus the phenotypic assessments on three cognitive dimensions of depression including a) cognitive performance, b) emotion processing and c) social cognitive functioning. Hence, the overall aim of the study is to investigate the long-term clinical course of these cognitive dimensions in depression and its functional (psychosocial) correlates. We also aim to identify biological genomic correlates of these three cognitive dimensions of depression. To address the above overall aim, we created the Cognition and Mood Study (CoFaMS) with the key objective to investigate the clinical, functional and biological correlates of cognitive dimensions of depression by employing a prospective study design and including a healthy control group. The study commenced in April 2015 including patients with a primary diagnosis of a major depressive episode of MDD or Bipolar Disorder according to DSM—IV-TR criteria. The assessments cover the three cognitive dimensions of depression (cognitive performance, emotion processing, social cognition), cognitive function screening instrument, plus functional scales to assess general, work place and psychosocial function, depression symptom scales and clinical course of illness. Blood is collected for comprehensive genomic discovery analyses of biological correlates of cognitive dimensions of depression. The CoFaM-Study represents an innovative approach focussing on cognitive dimensions of depression and its functional and biological genomic correlates. The CoFaMS team welcomes collaborations with both national and international researchers.