Heterogeneity in cognitive functioning among major depressive disorder (MDD) patients could have been the reason for the small-to-moderate differences reported so far when it is compared to other psychiatric conditions or to healthy controls. Additionally, most of these studies did not take into account clinical and sociodemographic characteristics that could have played a relevant role in cognitive variability. This study aims to identify empirical clusters based on cognitive, clinical and sociodemographic variables in a sample of acute MDD patients. In a sample of 174 patients with an acute depressive episode, a two-step clustering analysis was applied considering potentially relevant cognitive, clinical and sociodemographic variables as indicators for grouping. Treatment resistance was the most important factor for clustering, closely followed by cognitive performance. Three empirical subgroups were obtained: cluster 1 was characterized by a sample of non-resistant patients with preserved cognitive functioning (n = 68, 39%); cluster 2 was formed by treatment-resistant patients with selective cognitive deficits (n = 66, 38%) and cluster 3 consisted of resistant (n = 23, 58%) and non-resistant (n = 17, 42%) acute patients with significant deficits in all neurocognitive domains (n = 40, 23%). The findings provide evidence upon the existence of cognitive heterogeneity across patients in an acute depressive episode. Therefore, assessing cognition becomes an evident necessity for all patients diagnosed with MDD, and although treatment resistant is associated with greater cognitive dysfunction, non-resistant patients can also show significant cognitive deficits. By targeting not only mood but also cognition, patients are more likely to achieve full recovery and prevent new relapses.