Background: Patients with major depressive disorder (MDD) are characterized by neurocognitive impairments and show deficits in various cognitive performance indicators, including executive function. We examined whether sustained attention and inhibitory control differ between patients with MDD and healthy controls, and whether differences exist between patients with mild, moderate, and severe depression. Methods: Clinical in-patients (N= 212) aged 18–65 years with a current diagnosis of MDD and 128 healthy controls were recruited. Depression severity was assessed using the Beck Depression Inventory, and sustained attention and inhibitory control were assessed using the oddball and flanker tasks. The use of these tasks promises insights into executive function in depressive patients that are not biased by verbal skills. Group differences were tested via analyses of covariance. Results: Patients with MDD showed slower reaction times in both the oddball and flanker task, independent of the executive demands of the trial types. Younger participants achieved shorter reaction times in both inhibitory control tasks. After correcting for age, education, smoking, BMI, and nationality, only differences in reaction times in the oddball task were statistically significant. In contrast, reaction times were not sensitive to the symptom severity of depression. Conclusion: Our results corroborate deficits in basic information processing and specific impairments in higher-order cognitive processes in MDD patients. As difficulties in executive function underlie problems in planning, initiating, and completing goal-directed activities, they may jeopardize in-patient treatment and contribute to the recurrent nature of depression.