Introduction. Cognitive deficits are commonly reported by patients with major depressive disorder (MDD). Duloxetine, a dual serotonin/noradrenaline reuptake inhibitor, may improve cognitive deficits in MDD. It is unclear if cognitive improvements occur independently of antidepressant effects with standard antidepressant medications. Methods. Thirty participants with MDD who endorsed cognitive deficits at screening received 12-week duloxetine treatment. Twenty-one participants completed treatment and baseline and posttreatment cognitive testing. The Cambridge Neuropsychological Test Automated Battery was used to assess the following cognitive domains: attention, visual memory, executive function/set shifting and working memory, executive function/spatial planning, decision making and response control, and verbal learning and memory. Results. Completers showed significant cognitive improvements across several domains on tasks assessing psychomotor function and mental processing speed, with additional improvements in visual and verbal learning and memory, and affective decision making and response control. Overall significance tests for executive function tasks were also significant, although individual tasks were not, perhaps due to the small sample size. Most notably, cognitive improvements were observed independently of symptom reduction on all domains except verbal learning and memory. Conclusions. Patients reporting baseline cognitive deficits achieved cognitive improvements with duloxetine treatment, most of which were independent of symptomatic improvement. This trial is registered with NCT00933439.