Cognitive functioning is disrupted during a depressive episode and cognitive dysfunction persists when depression is in remission. A subtype of depressed individuals who exhibit elevated inflammatory biomarkers may be at particular risk for cognitive dysfunction. We examined whether an elevated inflammatory biomarker (C-reactive protein: CRP) in acute and/or remitted depression was associated with specific deficits in executive functioning, episodic memory, and verbal fluency. Data were drawn from a population-based sample of Dutch adolescents (N = 1,066; 46% male) recruited at the age of 11 and followed over the course of eight years. We tested whether adolescents with either, (i) a history of depression (Wave 1 - 3) or (ii) current depression (Wave 4), and elevated levels of C-reactive protein measured in blood at Wave 3 performed worse on cognitive assessments at Wave 4. Eight measures of cognitive functioning were hypothesized to load on to one of three dimensions of cognitive functioning (executive functioning, episodic memory, and verbal fluency) within a structural equation model framework. Higher levels of CRP were associated with worse future executive functioning in adolescents with and without current/prior depression. A current depression diagnosis also was associated with worse future executive functioning. There was consistent evidence linking low socioeconomic status and health-related covariates (high body mass index/sedentary behavior) with worse performance across multiple measures of cognitive functioning and, importantly, the association of depression/CRP and executive functioning was no longer significant when controlling for these covariates. Future studies may benefit from investigating whether specific depressogenic behaviors (e.g., sedentary behavior/substance use) mediate a relationship between depression and worse executive functioning, potentially via a prospective pathway through elevated inflammation.