A possible association between cholesterol, cholesterol-lowering drug therapy and depression remains an issue of debate. Cholesterol-lowering drugs in general help to control elevated levels of different forms of lipids in patients with hyper-lipidemia. The present review demonstrated that recent research describes the idea that cholesterol can play an important role in governing depression. In this review, several topics such as lipid parameters and central nervous system disorders, lipid parameters and depression, lipid parameters and suicidal attempts, antidepressant effects of cholesterol lowering drugs, cholesterol lowering effects of antidepressants have been discussed. Deepening the studies in this field could be a promising avenue for future research, with implications for treating people with hypercholesterolemia along with depression.