BACKGROUND: Cognitive impairments are common in depression and often persist beyond mood resolution. However, the relationship between cognitive performance, its neurological underpinnings, and future depression risk is unclear, limiting strategies for primary and secondary prevention. OBJECTIVE: Our objective was to determine whether cognition associates with subsequent depression, both relapse and first-episode occurrences. METHODS: 1862 UK Biobank participants with a history of International Classification of Diseases (ICD)-10-defined depression in remission (RD) (mean (SD) age: 52.7 (7.13) years) were age-matched and sex-matched to 1862 participants without depression history or current antidepressant use. Cognitive scores were compared between groups at the composite (z-score), domain and task levels. MRI-derived phenotypes assessed brain network structure and functional connectivity. Longitudinal associations with future depression were assessed using logistic regression models and a Cox proportional hazards model controlling for key confounders. FINDINGS: Participants with RD had a higher risk of future depression (33%) than controls (13%), including when we accounted for temporal differences in longitudinal assessment (HR=3.16 (95% CI 2.71 to 3.67), global proportional hazard assumption p=0.07). Composite cognitive performance in controls was inversely associated with future depression risk (risk estimated marginal means: 0.25% at -1SD, 0.20% at mean, 0.15% at +1 SD). In RD, this relationship was reversed (0.74% at -1SD, 0.90% at mean, 1.10% at +1 SD). Executive functioning, processing speed and reasoning task scores all contributed. Higher grey matter in default mode network regions was associated with better concurrent cognitive performance across all participants, but not with future depression risk. Other MRI findings were limited. CONCLUSIONS: RD carried a threefold higher risk of future depression than controls. Cognitive performance was a risk marker for future depression in both groups but in opposing directions. Neuroimaging metrics provided little predictive value. CLINICAL IMPLICATIONS: Personalised risk factor assessment for depression is likely to be dependent on depression history. Those without previous history of diagnosed depression are at higher risk of future depression when cognitive performance is lower at baseline. RD is a high-risk group for future depression, and those with relatively higher cognitive performance may be more likely to report future depressive symptoms.