The prevalence of psychiatric disorders has increased in recent years. Among existing mental disorders, major depressive disorder (MDD) has emerged as one of the leading causes of disability worldwide, affecting individuals throughout their lives. Currently, MDD affects 15% of adults in the Americas. Over the past 50 years, pharmacotherapy, psychotherapy, and brain stimulation have been used to treat MDD. The most common approach is still pharmacotherapy; however, studies show that about 40% of patients are refractory to existing treatments. Although the monoamine hypothesis has been widely accepted as a molecular mechanism to explain the etiology of depression, its relationship with other biochemical phenomena remains only partially understood. This is the case of the link between MDD and inflammation, mitochondrial dysfunction, and oxidative stress. Studies have found that depressive patients usually exhibit altered inflammatory markers, mitochondrial membrane depolarization, oxidized mitochondrial DNA, and thus high levels of both central and peripheral reactive oxygen species (ROS). The effect of antidepressants on these events remains unclear. Nevertheless, the effects of ROS on the brain are well known, including lipid peroxidation of neuronal membranes, accumulation of peroxidation products in neurons, protein and DNA damage, reduced antioxidant defenses, apoptosis induction, and neuroinflammation. Antioxidants such as ascorbic acid, tocopherols, and coenzyme Q have shown promise in some depressive patients, but without consensus on their efficacy. Hence, this paper provides a review of MDD and its association with inflammation, mitochondrial dysfunction, and oxidative stress and is aimed at thoroughly discussing the putative links between these events, which may contribute to the design and development of new therapeutic approaches for patients.