Hi IQDeclined
Welcome to Neurotalk (NT). I hope you're able to find some support and answers to your queries about cognitive issues with depression. Kiwi has given you some good advice about seeking further physical evaluation.
I would like to add, from my experience, depression can add to cognitive dysfunction - however at this stage in medical progress it is very hard for clinicians to accurately match the symptoms with the direct cause - there being so many overlapping scenarios.
Your question prompted me to do some further research and I came across this recent interesting article (so thanks for getting me started). I hope it can explain for you a little of what might be going on. It has certainly helped me re-evaluate my own autoimmune endocrine disease (low cortisol) related depression.
All About Depression: Causes
All the best getting your diagnosis sorted and please come back here anytime for support or further questions.