Major depressive disorder (MDD) is a serious mental illness with a heavy social burden, but its underlying molecular mechanisms remain unclear. Mass spectrometry (MS)-based metabolomics is providing new insights into the heterogeneous pathophysiology, diagnosis, treatment, and prognosis of MDD by revealing multi-parametric biomarker signatures at the metabolite level. In this comprehensive review, recent developments of MS-based metabolomics in MDD research are summarized from the perspective of analytical platforms (liquid chromatography-MS, gas chromatography-MS, supercritical fluid chromatography-MS, etc.), strategies (untargeted, targeted, and pseudotargeted metabolomics), key metabolite changes (monoamine neurotransmitters, amino acids, lipids, etc.), and antidepressant treatments (both western and traditional Chinese medicines). Depression sub-phenotypes, comorbid depression, and multi-omics approaches are also highlighted to stimulate further advances in MS-based metabolomics in the field of MDD research.