Depression is a mental disorder that affects millions of people around the world. However, depressive symptoms can be seen in other psychiatric and medical conditions. Here, we investigate the effect of DHEA treatment on depressive symptoms in individuals with depression and/or other clinical conditions in which depressive symptoms are present. An electronic search was performed until October 2019, with no restrictions on language or year of publication in the following databases: Medline, EMBASE, LILACS, and Cochrane Library. Randomized controlled trials comparing DHEA versus placebo were included if the depressive symptoms were assessed. Fifteen studies with 853 female and male individuals were included in this review. To conduct the meta-analysis, data were extracted from 14 studies. In comparison with placebo, DHEA improved depressive symptoms (standardized mean difference [SMD] −0.28, 95% (CI) −0.45 to −0.11, p =.001, 12 studies, 742 individuals (375 in the experimental group and 367 in the placebo group), I 2 = 24%), very low quality of evidence, 2 of 14 studies reporting this outcome were removed in a sensitivity analysis as they were strongly influencing heterogeneity between studies. No hormonal changes that indicated any risk to the participants' health were seen. Side effects observed were uncommon, mild, and transient, but commonly related to androgyny. In conclusion, DHEA was associated with a beneficial effect on depressive symptoms compared to placebo. However, these results should be viewed with caution, since the quality of evidence for this outcome was considered very low according to the GRADE criteria.