Depression and alcohol use disorders frequently co-occur and are highly prevalent. Both conditions are known to impair cognitive functioning, yet research into the role of these impairments in response to Cognitive Behaviour Therapy (CBT) is limited. The purpose of the present study was to examine the relationship between baseline neuropsychological performance, severity of depressive symptoms and alcohol use disorders. Participants with current depression and hazardous alcohol use were functioning in the average range on all neuropsychological measures prior to treatment entry. Baseline measures of drinking severity and a range of cognitive functions were inversely correlated. After controlling for other baseline variables, superior baseline cognitive functioning predicted greater reductions in depression severity after 17 weeks. These predictive effects occurred across both brief and extended interventions. Findings suggest that improvement in depression following psychological treatment is enhanced by greater fluid reasoning ability and is predicted by executive functioning, regardless of the treatment length or problem focus.