Assessing mental health disorders and determining treatment can be difficult for a number of reasons, including access to healthcare providers. Assessments and treatments may not be continuous and can be limited by the unpredictable nature of psychiatric symptoms. Machine-learning models using data collected in a clinical setting can improve diagnosis and treatment. Studies have used speech, text, and facial expression analysis to identify depression. Still, more research is needed to address challenges such as the need for multimodality machine-learning models for clinical use. We conducted a review of studies from the past decade that utilized speech, text, and facial expression analysis to detect depression, as defined by the Diagnostic and Statistical Manual of Mental Disorders (DSM-5), using the Preferred Reporting Items for Systematic Reviews and Meta-Analysis (PRISMA) guideline. We provide information on the number of participants, techniques used to assess clinical outcomes, speech-eliciting tasks, machine-learning algorithms, metrics, and other important discoveries for each study. A total of 544 studies were examined, 264 of which satisfied the inclusion criteria. A database has been created containing the query results and a summary of how different features are used to detect depression. While machine learning shows its potential to enhance mental health disorder evaluations, some obstacles must be overcome, especially the requirement for more transparent machine-learning models for clinical purposes. Considering the variety of datasets, feature extraction techniques, and metrics used in this field, guidelines have been provided to collect data and train machine-learning models to guarantee reproducibility and generalizability across different contexts.