IMPORTANCE Major depressive disorder is prevalent and impairing. Parsing neurocomputational substrates of reinforcement learning in individuals with depression may facilitate a mechanistic understanding of the disorder and suggest new cognitive therapeutic targets. OBJECTIVE To determine associations among computational model–derived reinforcement learning parameters, depression symptoms, and symptom changes after treatment. DESIGN, SETTING, AND PARTICIPANTS In this mixed cross-sectional–cohort study, individuals performed reward and loss variants of a probabilistic learning task during functional magnetic resonance imaging at baseline and follow-up. A volunteer sample with and without a depression diagnosis was recruited from the community. Participants were assessed from July 2011 to February 2017, and data were analyzed from May 2017 to May 2021. MAIN OUTCOMES AND MEASURES Computational model–based analyses of participants’ choices assessed a priori hypotheses about associations between components of reward-based and loss-based learning with depression symptoms. Changes in both learning parameters and symptoms were then assessed in a subset of participants who received cognitive behavioral therapy (CBT). RESULTS Of 101 included adults, 69 (68.3%) were female, and the mean (SD) age was 34.4 (11.2) years. A total of 69 participants with a depression diagnosis and 32 participants without a depression diagnosis were included at baseline; 48 participants (28 with depression who received CBT and 20 without depression) were included at follow-up (mean [SD] of 115.1 [15.6] days). Computational model–based analyses of behavioral choices and neural data identified associations of learning with symptoms during reward learning and loss learning, respectively. During reward learning only, anhedonia (and not negative affect or arousal) was associated with model-derived learning parameters (learning rate: posterior mean regression β = −0.14; 95%credible interval [CrI], −0.12 to −0.03; outcome sensitivity: posterior mean regression β = 0.18; 95% CrI, 0.02 to 0.37) and neural learning signals (moderation of association between striatal prediction error and expected value signals: t₉₇ = −2.10; P = .04). During loss learning only, negative affect (and not anhedonia or arousal) was associated with learning parameters (outcome shift: posterior mean regression β = −0.11; 95% CrI, −0.20 to −0.01) and disrupted neural encoding of learning signals (association with subgenual anterior cingulate prediction error signals: r = −0.28; P = .005). Symptom improvement following CBT was associated with normalization of learning parameters that were disrupted at baseline (reward learning rate: posterior mean regression β = 0.15; 90% CrI, 0.001 to 0.41; loss outcome shift: posterior mean regression β = 0.42; 90% CrI, 0.09 to 0.77). CONCLUSIONS AND RELEVANCE In this study, the mapping of reinforcement learning components to symptoms of major depression revealed mechanistic features associated with these symptoms and points to possible learning-based therapeutic processes and targets.