Depression, a prevalent psychiatric malady, afflicts a substantial global demographic, engendering considerable disease burden due to its elevated morbidity and mortality rates. Contemporary therapeutic approaches for depression encompass the administration of serotonin reuptake inhibitors, monoamine oxidase inhibitors, and tricyclic antidepressants, albeit these pharmaceuticals potentially induce adverse neurological and gastrointestinal effects. Traditional Chinese Medicine (TCM) natural products proffer the benefits of multi-target, multi-level, and multi-channel depression treatment modalities. In this investigation, we conducted a comprehensive literature review of the past 5 years in PubMed and other databases utilizing the search terms “Depression,” “Natural medicines,” “Traditional Chinese Medicine,” and “hypothalamic–pituitary–adrenal axis.” We delineated the 5 most recent and pertinent signaling pathways associated with depression and hypothalamic–pituitary–adrenal (HPA) axis dysregulation: nuclear factor kappa light-chain-enhancer of activated B cell, brain-derived neurotrophic factor, mitogen-activated protein kinase, cyclic AMP/protein kinase A, and phosphoinositide 3-kinase/protein kinase B. Additionally, we deliberated the antidepressant mechanisms of natural medicines comprising alkaloids, flavonoids, polyphenols, saponins, and quinones via diverse pathways. This research endeavor endeavored to encapsulate and synthesize the progression of TCMs in modulating HPA axis-associated signaling pathways to mitigate depression, thereby furnishing robust evidence for ensuing research in this domain.