Post-stroke depression (PSD) is a significant sequela of cerebrovascular accidents, affecting a substantial proportion of stroke survivors. However, it is still unclear whether the existence of depression after stroke is an independent risk factor for stroke recurrence and if the increased risk of cognitive impairment in PSD is related to the location of stroke. We aimed to compare the role of cortical, subcortical and cortico-subcortical infarcts in the development of PSD and cognitive impairment, as well as the role of the existence of depression in stroke recurrence. In this study, a 52-week, randomised, double-blind study consisted of 1059 stroke patients (866 non-depressive and 193 untreated depressive persons) who were matched in terms of demographic and clinical parameters. The Mini Mental State Examination Test (MMSE), Executive function (Trail Making Test Part A), processing speed (colour naming condition of the Stroop test), episodic memory (Rey Auditory Verbal Learning Test [RAVLT], including delayed free recall), semantic memory (verbal fluency test [animal naming]), language processing (Boston Naming Test [(number correct]), visuospatial perception (the bells test) was assessed at the baseline. The lesion sites are subdivided as cortical, subcortical, and cortico-subcortical territory infarcts on MRI. The stroke recurrence ratio was also recorded after a year. In results, we observed a higher rate of depression associated with lesions affecting the cortico-subcortical structures in patients with PSD compared to non-depressive patients (p < 0.05). Our results further indicated impaired cognitive scores in patients with PSD compared to those with non-depressive individuals (p < 0.05). Regarding the risk of stroke recurrence, we also found an increased rate of stroke recurrence in PSD after 12 months (p < 0.05). In detail, binomial logistic regression analyses using the backward Wald method determined that patients with depression (p = 007; odds ratio (OR) = 1.64; CI 1.14–2.35), hypertension (p = 0.004; OR = 1.74; CI 1.19–2.55), atrial fibrillation (p = 0.007; OR = 1.61; CI 1.14–2.28) and older age (p = 0.019; OR = 1.02; CI 1.003–1.03) were significantly predictors for stroke recurrency. Our regression analysis further revealed that PSD was a predictive factor for disabling cognitive test scores (impaired executive function [p < 0.001; OR = 4.51; CI 3.24–6.27], reduced processing speed [p < 0.001; OR = 4.29; CI 3.12–5.91], episodic memory [p < 0.001; OR = 4.65; CI 3.37–6.42), semantic memory [p < 0.001; OR = 4.79; 3.47–6.61], visuospatial [p < 0.001; OR = 6.10; CI 4.36–8.55], and language function [p < 0.001; OR = 5.086; CI 3.67–7.05]) after adjusting for age and education. In conclusion, the present study provides strong evidence confirming the importance of depression in predicting cognitive impairment and recurrence in stroke patients. Despite these positive findings, our findings warrant the performance of further research to demonstrate the efficacy of treatment on stroke recurrence, together with other vascular risk factors and cognitive disorders.