According to WHO data, mental health is a major source of concern throughout the world, amounting to suicide in the majority of instances if left untreated. Presently, social media is a great way for people to express themselves through text, emoticons, images, or videos that depict their sentiments and emotions. This has opened up the possibility of investigating social networks in order to better comprehend their users' mental states. Social media is currently being used by researchers to predict the prevalence of mental illnesses such as depression, suicide ideation, anxiety, and stress. This area of study has considerable potential for the monitoring, diagnosis, and prevention of mental health issues. In this research we aim to give an overview of the most recent works for predicting mental health status on social media. We focused on data collection and annotation approaches, preprocessing and feature selection, model selection, and validation. We addressed research on depression and suicidal thoughts, which are the most common among mental health studies on social media.