Background There is an urgent need for more effective treatments for major depressive disorder (MDD). As understanding of the cognitive and affective neuroscience underlying psychiatric disorders expands, so do opportunities to develop interventions that capitalize on the capacity for brain plasticity. Cognitive training is one such strategy. In this article, we report a proof‐of‐concept study of a novel cognitive‐emotional training exercise designed to enhance cognitive control for emotional information processing and targeting components of the neural networks that have been implicated in MDD. Methods Twenty‐one participants with MDD in a current episode were randomly assigned to one of the two treatment conditions: 11 participating in a cognitive‐emotional training paradigm (emotional faces memory task (EFMT)) involving eight sessions over 4 weeks, and 10 participating in an active control condition (control training, CT). Assessments of MDD symptoms, negative affective bias in cognitive processing, and neurocognition (attention and working memory) were administered at baseline and after 4 weeks. Results Participants in the EFMT group exhibited a greater reduction in MDD symptoms compared to the CT group, and 6 of the 11 EFMT participants achieved clinical response (≥50% reduction in symptoms). EFMT participants also exhibited changes in negative affective bias in the hypothesized direction whereas the CT participants did not. Both groups exhibited similar, small improvements in attention and working memory. Conclusions Cognitive‐emotional training may represent a feasible and effective intervention strategy for MDD. This proof‐of‐concept study highlights the need for future studies to fully understand the effectiveness, and mechanisms of effect, of these training strategies.