Individuals with affective disorders (including post-traumatic stress disorder (PTSD) and major depressive disorder (MDD)) often experience declines in cognitive abilities such as memory and attention. Such difficulties can reduce functioning in important aspects of life, including at work or school. Little research has been conducted to investigate if cognitive dysfunction can be reduced in individuals with PTSD or MDD following a specific treatment. Thus, the investigators plan to determine the utility of a cognitive training program called goal management training (GMT) in reducing cognitive dysfunction in MDD/PTSD. GMT aims to assist participants in building skills in performing specific behaviours that rely on basic cognitive processes, allowing them to achieve an identified goal. 64 individuals with PTSD and 64 with MDD will be divided into two groups of 32, one GMT group, and one wait-list group that will receive GMT after study completion. The investigators predict that in comparison to the wait-list group, the GMT group will show greater improvements in cognitive functioning and everyday functioning following treatment and that these improvements will remain long-term.