Major depressive disorder (MDD) still has an unknown etiology and mechanisms. Many studies have been conducted seeking to associate and understand the connection of different genetic variants to this disease. Researchers have extensively studied the brain-derived neurotrophic factor (BDNF) Val66Met genetic variant in MDD; yet, their findings remain inconsistent. This systematic review sought to verify the GG (Val/Val) genotype frequency fluctuation in different populations with MDD. For this, we searched in different databases and, after applying the eligibility criteria, selected 17 articles. Most studies demonstrate the higher frequency of the ancestral (wild) GG (Val/Val) genotype, although associations of the polymorphic A (Met) allele, changes in BDNF protein serum levels, or both were also found in MDD, whether related to the disease’s development or other factors. Nevertheless, despite these findings, disagreements between several studies are seen. For this reason, further BDNF Val66Met genetic variant studies should not only bridge the gap in the knowledge of this polymorphism’s role in MDD’s different facets but also analyze the genotypic and phenotypic heterogeneity in different populations to help provide a better quality of life for patients.