The cumulative prevalence rates of major depressive disorders (MDD) in children and adolescents averages 9.5 %. The majority of adults with MDD suffer from significant cognitive deficits, but the available neuropsychological data on the cognitive performance of children and adolescents with MDD yielded mixed results. Meta-analytic methods were used to assess the severity of cognitive deficits in children and adolescents with MDD as compared to healthy children and adolescents. We identified 17 studies comparing the intelligence, executive functions, verbal memory and attention of 447 patients with DSM-IV MDD and 1,347 healthy children and adolescents. Children and adolescents with MDD performed 0.194–0.772 (p < 0.001) standard mean differences worse than healthy control subjects in neuropsychological test procedures. The most pronounced deficits of children and adolescents with MDD were seen in inhibition capacity (STD = 0.772; p = 0.002), phonemic verbal fluency (STD = 0.756; p = 0.0001), sustained attention (STD = 0.522; p = 0.000), verbal memory (STD = 0.516; p = 0.0009) and planning (STD = 0.513; p = 0.014). We revealed cognitive deficits of children and adolescents with MDD in various cognitive domains. Long-term studies should investigate how the cognitive deficits of depressed youth affect their academic and social functioning, and whether age, comorbidity and depression severity play a role in this process.