Neuropsychological impairment is prominent in patients with depression, but it is unclear whether deficits persist after clinical response. This study aimed to investigate neuropsychological functions in the course of the illness. Depressive patients were investigated in the acute state and after clinical response using an extensive neuropsychological test battery. After clinical response, there was only a partial improvement in learning and memory and there were no changes regarding working memory, executive functions, and attention. Transient impairments in visual learning and memory suggest a depression-related state effect. The continuing deficits in attention, working memory, and executive function might be considered a trait marker.