Objective: Depressive symptoms and cognitive dysfunction are common in patients with schizophrenia and depressive disorder. This study aimed at exploring whether and how depressive symptoms were correlated with neuro-cognitive impairment in patients with never-treated first-episode (NTFE) schizophrenia. Methods: The Repeatable Battery for the Assessment of Neuropsychological Status (RBANS) was administered to 79 patients and 80 healthy controls to assess neuropsychological function. For all patients, the 17-item Hamilton Depression Rating Scale (HAMD-17) was adopted to evaluate depressive symptoms, and the Positive and Negative Syndrome Scale (PANSS) was utilized to assess psychopathological symptoms. Results: Thirty-nine patients (49.37%) met the criteria for comorbid depressive symptoms. The RBANS total and the four index scores in the patients were significantly lower than those in the healthy controls. Further, compared with patients without depressive symptoms, patients with depressive symptoms scored lower in attention index, but higher in PANSS general psychopathology and total scores. The HAMD-17 total score was significantly correlated with attention, PANSS total, and PANSS general psychopathology scores. Moreover, multiple regression analysis identified education and HAMD-17 score as the contributors to attention. Conclusion: Our results suggest that the rate of depressive symptoms in NTFE schizophrenia is high, which is correlated with neuro-cognitive impairment, especially attention and psychopathology.