ObjectivesThis study aimed to examine the association of appetite loss symptoms to neurocognitive performance in late‐life depression (LLD).MethodsThis study used cross‐sectional data from individuals aged 60+ years with major depressive disorder (N = 322). Participants received clinical assessment of depression and neuropsychological testing. Factor analysis was used to characterize depression symptom factors, and composite scales were developed for episodic memory, psychomotor–executive functions, verbal fluency, and working memory span.ResultsFactor analysis produced a five‐factor solution: (1) anhedonia/sadness; (2) suicidality/guilt; (3) appetite/weight loss; (4) sleep disturbance; and (5) anxiety/tension. In separate multivariate models for each neurocognitive domain and including all five depression factors, higher appetite‐loss‐related symptoms were associated with lower performance in episodic memory, psychomotor–executive functions, and verbal fluency; results were significant with covariates of age, education, race, sex, age of depression onset, and illness burden. No other depression factors were associated with neurocognitive performance in these models. In an additional set of models, the appetite factor mediated the association between global depression severity and neurocognitive performance.DiscussionA factor of appetite and weight loss symptoms in LLD was uniquely associated with neurocognitive performance, in contrast to lack of association among other depression symptom factors.ConclusionCognitive deficits are a major adverse outcome of LLD, and prominent appetite loss during acute depression may be a marker for these deficits, independent of overall depression severity. Research is needed to understand the mechanisms that may explain this association, and how it is related to the cognitive and symptomatic course of LLD. Copyright © 2014 John Wiley & Sons, Ltd.