The cognitive approach to depressive disorders has generally focused on memory problems. In recent years, research conducted in this field has been based on new cognitive theories of memory that distinguish between implicit memory, i.e. an unconscious memory that promotes the use of automatic processes, and explicit memory, i.e. a conscious memory based on the use of controlled processes. Here, we propose a review of the literature concerning the studies of depressive pathology. The initial results suggested a specific impairment of the explicit memory and thus brought depressive pathology into the realm of the pathologies of consciousness. More recent results and/or a consideration of divergent findings have led researchers to revise this interpretation. After looking at the various studies, we shall point out certain divergent results that will allow us to propose some new explanations and, finally, some new avenues of research based on the consideration of clinical and methodological elements. This approach is based on a cognitive and clinical examination of depressive disease. We examine the role of the processes—data—or conceptually driven processes, the role of the paradigm used, and clinical profile with a special interest for the presence of anxious or psychotic symptoms, and for the emotional profile.