Objective To investigate the correlation of serum inflammatory factors, glucose and lipid metabolism indices, miR⁃155 and brain⁃derived neurotrophic factor (BDNF) expressions with cognitive function in patients with depression. Methods A total of 240 patients with depression were selected as the research subjects, and they were assigned to mild depression group, moderate depression group or severe depression group according to their score results of Hamilton Depression 24 (HAMD⁃24) scale, with 80 cases in each group. The scale score of Montreal Cognitive Assessment (MoCA), serum inflammatory factors (interleukin [IL]⁃1β, IL⁃6, tumor necrosis factor α [TNF⁃α]) and BDNF levels, as well as levels of total cholesterol, triglyceride, HDL, LDL, and fasting blood glucose level and serum miR⁃155 expression were compared between patients of the three groups. The Pearson correlation analysis was used to evaluate the correlation of serum miR⁃155 expression with relevant incices, and the unconditional Logistic regression model was employed to analyze the influencing factors for depression patients suffering from cognitive dysfunction. Results Serum IL⁃6 and TNF⁃α levels, and serum miR⁃155 expression were elevated successively in the mild depression, moderate depression, and severe depression groups (P<0.05), whereas total score, and visual space and executive ability, language, attention, abstract thinking, delayed memory scores of MoCA scale, and HDL level and serum BDNF level were decreased successively in the mild depression, moderate depression, and severe depression groups (P<0.05). Serum miR⁃155 expression positively correlated with HAMD⁃24 scale total score, fasting blood glucose level, and serum TNF⁃α level in patients with depression, whereas negatively correlated with total score of MoCA scale, visual space and executive ability score of MoCA scale, HDL level, and serum BDNF level (P<0.05). The results of unconditional Logistic regression analysis revealed that the elevations of total score of HAMD⁃24 scale, serum TNF⁃α level, serum miR⁃155 expression were the risk factors for the occurrence of cognitive dysfunction in patients with depression (P<0.05). Conclusion The elevations of serum TNF⁃α level and miR⁃155 expression are the independent risk factors for the occurrence of cognitive dysfunction in patients with depression. The elevations of serum inflammatory factors levels, and decreases of serum BDNF and HDL levels are closely related to patients with depression suffering from cognitive dysfunction.