Depression is the primary cause of illness and injury in the country, with over 280 million people suffering from it as per the 2021 survey. Depression is one of the most common psychiatric illnesses in the world, affecting millions of people. Early detection of major depression symptoms and treatment with timely intervention can help to prevent the emergence of major depression. This has generated the need for some novel techniques to be utilized for depression detection to help doctors in diagnosing and treating depression effectively. Depression can be investigated through online posts, audio files, facial expressions, as well as through video files. In this regard, the research presents a detailed survey of the existing machine learning methods in depression detection, along with the different datasets available. The research explores automated depression detection strategies and the various ways to detect depression from text, audio, and video, and even examines the various systems and procedures for detecting depression using various criteria. More than 140 related research articles were considered for this review, with 80 of them being processed for comparative analysis based on various key performance indicators. The classifications of various methods used to detect stress, anxiety, and depression are highlighted followed by open research challenges and issues while analyzing depression techniques.