Major depressive disorder is one of the most common mental illnesses that highly impairs quality of life. Pharmacological interventions are mainly focused on altered monoamine neurotransmission, which is considered the primary event underlying the disease’s etiology. However, many other neuropathological mechanisms that contribute to the disease’s progression and clinical symptoms have been identified. These include oxidative stress, neuroinflammation, hippocampal atrophy, reduced synaptic plasticity and neurogenesis, the depletion of neurotrophic factors, and the dysfunction of the hypothalamic–pituitary–adrenal (HPA) axis. Current therapeutic options are often unsatisfactory and associated with adverse effects. This review highlights the most relevant findings concerning the role of flavonols, a ubiquitous class of flavonoids in the human diet, as potential antidepressant agents. In general, flavonols are considered to be both an effective and safe therapeutic option in the management of depression, which is largely based on their prominent antioxidative and anti-inflammatory effects. Moreover, preclinical studies have provided evidence that they are capable of restoring the neuroendocrine control of the HPA axis, promoting neurogenesis, and alleviating depressive-like behavior. Although these findings are promising, they are still far from being implemented in clinical practice. Hence, further studies are needed to more comprehensively evaluate the potential of flavonols with respect to the improvement of clinical signs of depression.