Major depressive disorder (MDD) is a complicated multifactorial induced disease, characterized by depressed mood, anhedonia, fatigue, and altered cognitive function. Recently, many studies have shown that antidepressants regulate autophagy. In fact, autophagy, a conserved lysosomal degradation pathway, is essential for the central nervous system. Dysregulation of autophagic pathways, such as the mammalian target of rapamycin (mTOR) signaling pathway and the beclin pathway, has been studied in neurodegenerative diseases. However, autophagy in MDD has not been fully studied. Here, we discuss whether the dysregulation of autophagy contributes to the pathophysiology and treatment of MDD and summarize the current evidence that shows the involvement of autophagy in MDD.