Depression increasingly affects a wide range and a large number of people worldwide, both physically and psychologically, which makes it a social problem requiring prompt attention and management. Accumulating clinical and animal studies have provided us with substantial insights of disease pathogenesis, especially central monoamine deficiency, which considerably promotes antidepressant research and clinical treatment. The first-line antidepressants mainly target the monoamine system, whose drawbacks mainly include slow action and treatment resistant. The novel antidepressant esketamine, targeting on central glutamatergic system, rapidly and robustly alleviates depression (including treatment-resistant depression), whose efficiency is shadowed by potential addictive and psychotomimetic side effects. Thus, exploring novel depression pathogenesis is necessary, for seeking more safe and effective therapeutic methods. Emerging evidence has revealed vital involvement of oxidative stress (OS) in depression, which inspires us to pursue antioxidant pathway for depression prevention and treatment. Fully uncovering the underlying mechanisms of OS-induced depression is the first step towards the avenue, thus we summarize and expound possible downstream pathways of OS, including mitochondrial impairment and related ATP deficiency, neuroinflammation, central glutamate excitotoxicity, brain-derived neurotrophic factor/tyrosine receptor kinase B dysfunction and serotonin deficiency, the microbiota-gut-brain axis disturbance and hypothalamic-pituitary-adrenocortical axis dysregulation. We also elaborate on the intricate interactions between the multiple aspects, and molecular mechanisms mediating the interplay. Through reviewing the related research progress in the field, we hope to depict an integral overview of how OS induces depression, in order to provide fresh ideas and novel targets for the final goal of efficient treatment of the disease.