Treatment-resistant depression (TRD) is a severe disorder characterized by high relapse rates and decreased quality of life. An effective strategy in the management of TRD is deep brain stimulation (DBS), a technique consisting of the implantation of electrodes that receive a stimulation via a pacemaker-like stimulator into specific brain areas, detected through neuroimaging investigations, which include the subgenual cingulate cortex (sgCC), basal ganglia, and forebrain bundles. In this context, to improve our understanding of the mechanism underlying the antidepressant effects of DBS in TRD, we collected the results of diffusion tensor imaging (DTI) studies exploring how WM microstructure is associated with the therapeutic effects of DBS in TRD. A search on PubMed, Web of Science, and Scopus identified 11 investigations assessing WM microstructure in responders and non-responders to DBS. Altered WM microstructure, particularly in the sgCC, medial forebrain bundle, cingulum bundle, forceps minor, and uncinate fasciculus, was associated with the antidepressant effect of DBS in TRD. Overall, the results show that DBS targeting selective brain regions, including the sgCC, forebrain bundle, cingulum bundle, rectus gyrus, anterior limb of the internal capsule, forceps minor, and uncinate fasciculus, seem to be effective for the treatment of TRD.