Background Eye movement is critical for obtaining precise visual information and providing sensorimotor processes and advanced cognitive functions to the brain behavioral indicator. Methods In this article, we present a narrative review of the eye-movement paradigms (such as fixation, smooth pursuit eye movements, and memory-guided saccade tasks) in major depression. Results Characteristics of eye movement are considered to reflect several aspects of cognitive deficits regarded as an aid to diagnosis. Findings regarding depressive disorders showed differences from the healthy population in paradigms, the characteristics of eye movement may reflect cognitive deficits in depression. Neuroimaging studies have demonstrated the effectiveness of different eye movement paradigms for MDD screening. Conclusion Depression can be distinguished from other mental illnesses based on eye movements. Eye movement reflects cognitive deficits that can help diagnose depression, and it can make the entire diagnostic process more accurate.