Recent meta-analyses highlight alterations in cognitive functioning among individuals with major depressive disorder (MDD), with performance deficits observed across multiple cognitive domains including executive functioning, memory, and attention. Moreover, impaired concentration is a formal diagnostic criterion for a major depressive episode. Notably, cognitive impairment is reported frequently in MDD and is associated with poor treatment response. Despite this knowledge, research examining the effectiveness of top-down, adjunctive treatments for cognitive dysfunction in MDD remains in its infancy. The primary aim of the present study was to perform a pilot investigation of the implementation of a standardized cognitive remediation program, Goal Management Training (GMT), among individuals with a primary diagnosis of MDD. A secondary aim was to explore how comorbid symptoms of post-traumatic stress disorder (PTSD) among those MDD patients exposed to trauma may affect treatment response. A final sample of thirty individuals were randomized to either participate in the nine-week GMT program (active group; n = 16) or to complete a nine-week waiting period (waitlist control; n = 14). One participant was excluded from the GMT group analysis following study completion due to meeting an exclusion criteria. In total, 60% of the individuals allocated to the GMT program were trauma exposed (n = 9). Groups were assessed at baseline, post-treatment, and at three-month follow-up. The assessment comprised neuropsychological tasks assessing a variety of cognitive domains, subjective measures of functioning and symptom severity, as well as a clinical interview to establish a primary diagnosis of MDD. Significant gains in processing speed, attention/concentration, and response inhibition were observed for the participants in the GMT condition relative to participants in the waitlist control condition. Individuals in the GMT condition also reported improvements in subjective cognitive functioning from baseline to post-treatment. Heightened PTSD symptom severity was associated with reduced response to treatment with respect to the domain of processing speed. The results of this pilot investigation highlight not only the potential utility of GMT as an augmentative treatment in MDD, but also highlight the contribution of comorbid symptoms of PTSD to diminished treatment response among trauma-exposed individuals with MDD. The study is limited primarily by its small pilot sample and the absence of a program evaluation component to gauge participant opinions and feedback of the treatment protocol.