Reduced cognitive function in major depression (MDD) is often interpreted as a reduced ability to exert cognitive control. Here we used the Effort Foraging Task to test the hypothesis that reduced cognitive function may be due, in part, to decreased willingness to exert control in MDD because of increased cognitive effort "costs". Contrary to our predictions, neither cognitive nor physical effort costs differed with MDD diagnosis (N MDD=52, N Comparisons=27). However, we found distinct patterns of symptom relationships for cognitive and physical effort costs. In MDD, greater anxiety symptoms were selectively associated with lower cognitive, but not physical effort cost (i.e. greater willingness to exert cognitive effort), whereas greater anhedonia and behavioral apathy symptoms were selectively associated with increased physical (but not cognitive) effort costs. These findings support the measurement of both cognitive and physical effort as decision-making function markers that may inform heterogeneity of MDD.