Objective: Cognitive symptoms in major depressive disorder (MDD) are common and may negatively impact clinical and functional outcomes. The Prospective Research Observation to Assess Cognition in Treated patients with MDD (PROACT) study aimed to assess the prevalence and course of cognitive symptoms, and their associations with clinical and functional outcomes during 6 months of antidepressant treatment, in a real-world setting among Chinese patients with MDD. Patients and methods: Outpatients (n=598) aged 18-65 years with MDD and a total score >= 17 on the Hamilton Depression Rating Scale - 17 Items (HAM-D-17) were observed over 6 months after initiating new antidepressant monotherapy, with follow-up visits at months 1, 2, and 6. Cognitive symptoms were assessed using the Perceived Deficits Questionnaire - Depression (PDQ-D) and cognitive performance using the Digit Symbol Substitution Test (DSST). Results: At baseline, 76.9% of patients had indications of cognitive symptoms (PDQ-D total score >= 21); at month 6, this was reduced, but still present in 32.4%. Across the 6-month study period, patients improved across cognitive, clinical and functional assessments. High levels of cognitive symptoms (PDQ-D) consistently predicted worse clinical outcomes, ie, lower odds for remission and increased odds for relapse, as well as worse patient-reported functional outcomes and lower quality of life. In contrast, cognitive performance (DSST) predicted performance-based functioning but only a few patient-reported functional outcomes (absenteeism and quality of life), and no clinical outcomes. PDQ-D and DSST scores were uncorrelated at baseline. Conclusion: The study highlights the importance of assessing and targeting cognitive symptoms for increasing patients' chances of recovery and restoring functioning in the treatment of MDD. The results further highlight the relevance of complementary assessment methods to fully capture aspects of cognitive symptoms in patients with depression.