Major depressive disorder (MDD) causes enormous individual suffering and socioeconomic costs. Biochemical mechanisms leading to MDD are poorly understood and therapy success is not satisfactory. At present, there is evidence of low-grade inflammation, oxidative stress, and most interestingly, a disturbed energy metabolism in MDD and other mental health diseases. Mitochondria play a central part in energy production and stress signaling. Mitochondrial electron transport chain uses molecular oxygen (O2) as final electron acceptor during adenosine triphosphate production attributing a crucial role to an intact O2 supply. Adaptation to altered O2 availability by the highly conserved hypoxic response is essential for maintaining allostasis. Previous research confirmed the role of O2 metabolism in the pathophysiology of MDD. In this perspective article, we compile the evidence linking O2 transport, O2 homeostasis, and mitochondrial energy metabolism to MDD. Furthermore, we hypothesize that inflammation and oxidative stress-related alterations in O2 transport might lead to a hypoxic response, which explains changes in O2 homeostasis and energy metabolism in MDD. Our forthcoming studies will investigate the interplay between energy metabolism and O2 homeostasis in MDD that aim to improve the overall understanding of the pathophysiology of MDD and to guide medical and psychological diagnostics towards a holistic strategy.