Numerous studies have shown that disturbances in hypothalamic-pituitary-adrenal (HPA) axis function and consequent hypercortisolaemia occur in a significant proportion of patients with mood disorders. This dysfunction has been proposed to be an exacerbating factor of depressive symptoms and may predict symptomatic relapse. Glucocorticoids are also known to have a specific role in learning and memory processes. In this review we present a brief overview of the relationship between HPA axis dysfunction and neuropsychological impairment in mood disorders and the specific links between glucocorticoids and cognition in health and illness states. Finally we examine the neuropsychological effects of drugs that specifically target glucocorticoid receptor function.