There is an urgent need for more effective treatments for mood and anxiety disorders. As our understanding of the cognitive and affective neuroscience underlying psychiatric disorders expands, so do opportunities to develop novel interventions that capitalize on the capacity for brain plasticity. Cognitive training is one such strategy. This paper provides the background and rationale for developing cognitive-emotional training exercises as an intervention strategy, and proposes guidelines for the development and evaluation of cognitive training interventions with a specific focus on major depressive disorder as an example.