Modified electroconvulsive therapy (MECT) and repetitive transcranial magnetic stimulation (rTMS) are effective physical interventions for major depressive disorder (MDD); however, they exert opposing effects on cognitive function. MECT acts rapidly but is frequently accompanied by impairments in memory and executive function, whereas rTMS not only alleviates mood symptoms but also preserves and even enhances cognition. This review systematically delineates and compares the core mechanisms of these two treatments across four dimensions: synaptic plasticity, brain-derived neurotrophic factor (BDNF) signaling, neuroinflammation, and neurogenesis. The cognitive costs of MECT arise from generalized seizure-induced overactivation of N-methyl-D-aspartate (NMDA) receptors, dysregulated BDNF release, and a downstream neuroinflammatory cascade. In contrast, the cognitive protective mechanism of rTMS is rooted in the physiological activation of BDNF-tropomyosin receptor kinase B (TrkB) signaling and the induction of orderly long-term potentiation (LTP)-like effects, thereby achieving precise and benign modulation of synaptic plasticity. This article further dissects the intersections and divergences of these two modalities at key molecular nodes, proposes a mechanistic framework that transitions from a “cognitive paradox” to a “synergistic dialogue,” and provides a theoretical basis and future research directions for optimizing clinical parameters, designing combination treatment regimens, and guiding individualized treatment decisions in MDD.