Non-adherence to treatment and recurrent episodes, are common in Major Depressive Disorder (MDD). The aim of this study was to investigate the relationship between the number of episodes, medication adherence, working memory, inhibition, set-shifting, perceived stress level and decision making in uncertain situations in MDD. Treatment Compliance Scale, Beck Depression Inventory, Perceived Stress Scale-14, Letter-Number Sequence Subtest, Stroop Test TBAG Form, Wisconsin Card Sorting Test and Iowa Gambling Test were used in the study. Moderation Analysis and Structural Equation Modeling were used for the analysis. In the study, it was found that working memory had a regulatory role in the effect of the number of episodes on treatment adherence in MDD. At the same time, working memory predicts inhibition, set-shifting perceived stress level and decision-making functions and working memory mediates the effect of number of episodes on inhibition and perceived stress level. And then, it was observed that treatment compliance played a mediating role in the effect of working memory on set-shifting, and decision making in uncertain situations in MDD patients. As a result of the data obtained, it is thought that it is a clinical necessity to develop cognitive intervention programs to improve working memory performances as well as ensuring patients' compliance with drug treatment in the treatment of MDD.