Large Language Models (LLMs) have demonstrated strong performance in various NLP tasks but remain limited in emotional intelligence (EI). Benchmarks such as EmoBench attribute this gap to deficiencies in cognitively demanding tasks that require inferring others’ latent mental states, intentions, and emotions in nuanced social contexts. To address this, we propose MACRo, a Multi-Agent Cognitive Reasoning framework that generates a structured Cognitive Chain of Thought comprising Situation, Clue, Thought, Action, and Emotion. Each component is generated by a specialized agent, enabling modular, interpretable multi-step reasoning. To ensure coherence and mitigate hallucinations, a coordinator agent verifies outputs, and a consensus game mechanism enforces alignment across reasoning steps. Extensive Experiments on EmoBench show that MACRo significantly enhances both emotional understanding and application across LLMs. Further evaluations confirm its generalizability to real-world social applications such as emotional support conversations.