Major depressive disorder is often considered to be a homogenous disorder that changes in terms of severity; however, the presence of distinct subtypes and a variety of presenting symptoms suggests much heterogeneity. Aiming to better understand the relationship between heterogeneity and diagnosis we used an exploratory approach to identify subtypes of depression on the basis of clinical symptoms and neuropsychological performance. Cluster analysis identified two groups of patients distinguished by level of cognitive dysfunction with the more severe cluster being associated with melancholic depression. While the relationship between cluster and subtype was significant, only 58% of melancholic patients were assigned to cluster 1 (the more severe cluster) and 66% of non-melancholic patients assigned to cluster 2. Subtypes also displayed a distinctive profile of impairment such that melancholic patients (n = 65) displayed more variability in attention while non-melancholic patients (n = 59) displayed memory recall impairment. While melancholia and non-melancholia are associated with a more severe and less severe form of depression respectively, findings indicate that differences between melancholia and non-melancholia are more than simple variation on severity. In summary, findings provide support for the heterogeneity of depression. (JINS, 2012, 18, 361–369)