Parkinson’s disease (PD) in recent decades has been considered a multisystem disease associated with severe neuropsychiatric disorders. The most clinically significant of these are depression and cognitive impairment (CI), which can precede the manifestation of motor symptoms, determining the features of the course of the disease and reducing the quality of life of patients. The high prevalence of these disorders and their impact on the clinical prognosis require an in-depth study of the pathogenetic mechanisms, risk factors, and therapeutic options. The combination of depression and CI is observed in about a third of patients with PD and is associated with more severe cognitive deficits. Data from neuroimaging, clinical, and functional studies confirm the presence of common morphofunctional and neurochemical mechanisms underlying these disorders. Current observations suggest that depression may be a predictor of more rapid cognitive decline. Major depressive disorders can limit the effectiveness of both pharmacotherapy with antidepressants and psychotherapy, while cognitive dysfunction further reduces the effectiveness of antidepressant treatment. Therefore, a comprehensive and systematic assessment of the neuropsychiatric status of patients with PD at all stages of the disease and the development of multidisciplinary therapeutic strategies aimed at correcting affective and cognitive disorders is of particular importance. Timely diagnosis and treatment of depressive symptoms can potentially slow the progression of cognitive deficits, while treatment of cognitive impairment can improve the effectiveness of antidepressant treatment. Comprehensive therapy of depression and CI in patients with PD should encompass pharmacological (dopaminergic agents and antidepressants) and non-drug approaches, including cognitive-behavioral therapy, motor rehabilitation, rTMS, etc.