The aim of this study was to examine both executive control of verbal working memory and verbal learning as well as long-term storage function in outpatients with major depressive disorder (n = 61) compared to healthy controls (n = 92). A total of 37 patients had no co-morbid anxiety disorder, whereas 24 had a co-morbid anxiety disorder. Both patient groups showed impaired working memory test performance compared to healthy controls. Patients with co-morbid depression and anxiety disorder performed significantly below the depression group. Only patients with depression and co-morbid anxiety displayed deficient long-term memory function compared to healthy controls. The present results show impairments in various memory functions in patients presenting depression and depression with co-morbid anxiety disorder.