Objective This study aimed to compare the efficacy and safety of escitalopram, vortioxetine, and desvenlafaxine for acute treatment of major depressive disorder (MDD) with cognitive complaint (CC). Methods A total of 129 patients with MDD who also complained of CC were randomized evenly to either escitalopram, vortioxetine, or desvenlafaxine group and underwent a multi-center, six-week, rater-blinded, and head-to-head comparative trial. Differences in depressive symptoms following treatment were measured using the Hamilton Depression Rating Scale (HAMD) and the Montgomery-Åsberg Depression Rating Scale (MADRS). Subjective cognitive function and the presence of adverse events were assessed. Results The three antidepressant treatment groups did not show significant differences in the improvement of depressive symptoms as measured by HAMD and MADRS. Desvenlafaxine treatment was associated with a superior treatment response rate in depressive symptoms compared to vortioxetine or escitalopram treatment. However, no significant differences were found in the remission rate of depressive symptoms. The three antidepressant treatment groups did not show significant differences in the improvement of CC. Adverse profiles of each treatment group were tolerable, with no significant differences. Conclusion In acute antidepressant treatment for MDD with CC, escitalopram, vortioxetine, and desvenlafaxine presented similar efficacy in relief of depressive symptoms; however, desvenlafaxine was associated with a superior treatment. Further studies are needed to confirm these results by investigating the therapeutic efficacy and safety profile of long-term antidepressant treatment of MDD with CC (Clinical Trial Registry, http://cris.nih.go.kr/cris/en/: KCT0002173).