Major depressive disorder is a severe psychiatric condition which forms a substantial burden to patients and society. Despite continuous efforts to unravel its etiology and pathophysiology, many questions remain. The majority of neurobiological research and classical pharmacotherapy regimens have approached this illness as the consequence of a failing monoaminergic neurotransmitter system. In the last decades, involvement of adult hippocampal neurogenesis in the pathogenesis and treatment of depressive disorder has gained an enormous interest. Numerous neurobiological systems and circuits thus appear to underlie this complex multi-factorial disease. One of them is the cholinergic system, which plays a major role in the regulation of various CNS functions, such as arousal, attention, cognition and memory. Cognitive impairments are often observed in depression, next to low mood, anhedonia and other clinical symptoms. Cholinergic dysfunctions may account for the development of cognitive symptoms during the course of depression. Changes in hippocampal neurogenesis, often associated with chronic stress in animal models, may be in part mediated by cholinergic dysfunction, which in turn could underlie the cognitive disturbances observed in depression. Here, we discuss the involvement of the cholinergic system in depressive disorder, with particular focus on its role in associated cognitive impairment. Since such deficits are often modified by cholinergic drugs, application of these neuropharmacological findings may provide a new therapeutic niche while yielding valuable insight into the pathophysiology of this complex illness.