This selective review aims to summarize the recent advances in understanding the neuromolecular underpinnings of biased cognition in depressive disorder. We begin by considering the cognitive correlates of depressed mood and the key brain systems implicated in its development. We then review the core findings across two domains of biased cognitive function in depression: pessimistic judgment bias and abnormal response to negative feedback. In considering their underlying substrates, we focus on the neurochemical mechanisms identified by genetic, molecular and pharmacological challenge studies. We conclude by discussing experimental approaches to the treatment of depression, which are derived largely from an improved understanding of its cognitive substrates.