Despite the hardships of major depressive disorder (MDD), biomarkers for the diagnosis and pharmacological management of this condition are lacking. MicroRNAs are epigenetic mechanisms that could provide promising MDD biomarkers. Our aim was to summarize the findings and provide validation for the selection and use of specific microRNAs as biomarkers in the diagnosis and treatment of MDD. A systematic review was conducted using the PubMed/MEDLINE, Cochrane, PsycINFO, Embase, and LILACS databases from March to May 2022, with clusters of terms based on microRNA and antidepressant. Studies involving human subjects, animal models, and cell cultures were included, whereas those that evaluated herbal medicines, non-pharmacological therapies, or epigenetic mechanisms other than miRNA were excluded. The review revealed differences in the expression of various microRNAs when considering the time of assessment (before or after antidepressant treatment) and the population studied. However, due to the heterogeneity of the microRNAs investigated, the limited size of the samples, and the wide variety of antidepressants used, few conclusions could be made. Despite the observed heterogeneity, the following microRNAs were determined to be important factors in MDD and the antidepressant response: mir-1202, mir-135, mir-124, and mir-16. The findings indicate the potential for the use of microRNAs as biomarkers for the diagnosis and treatment of MDD; however, more homogeneous studies are needed.