Cerebellar involvement in major depressive disorder (MDD) has been demonstrated by a growing number of studies, but it is unknown whether cognitive functioning in depressed individuals is related to cerebellar gray matter volume (GMV) abnormalities. Impaired attention and executive dysfunction are characteristic cognitive deficits in MDD, and critically, they often persist despite remission of mood symptoms. In this study, we investigated cerebellar GMV in patients with remitted MDD (rMDD) that showed persistent cognitive impairment. We applied cerebellum-optimized voxel-based morphometry in 37 patients with rMDD and with cognitive deficits, in 12 patients with rMDD and without cognitive deficits, and in 36 healthy controls (HC). Compared with HC, rMDD patients with cognitive deficits had lower GMV in left area VIIA, crus II, and in vermal area VIIB. In patients with rMDD, regression analyses demonstrated significant associations between GMV reductions in both regions and impaired attention and executive dysfunction. Compared with HC, patients without cognitive deficits showed increased GMV in bilateral area VIIIB. This study supports cerebellar contributions to the cognitive dimension of MDD. The data also point towards cerebellar area VII as a potential target for non-invasive brain stimulation to treat cognitive deficits related to MDD.