Depression is a severe mental disorder which faces a challengeable lack of objective diagnosis as well as early screening and predicting treatment responses. Consequently, developing sensitive, efficient, convenient, accurate, and real-time detection technology for depression markers deserves more attention. Electrochemical immunosensors, as a promising method for analyzing disease markers, selectively bind the target antigen with antibodies, converting the biological signal of the antigen-antibody recognition reaction into an electrical signal related to the concentration of the target analyte. This method has thrived in recent years in areas such as point-of-care diagnosis. Here we systematically review the construction of electrochemical immunosensors for the detection of biomarkers of depression over a recent six year period (2016-2022), including the classification of these sensors, commonly used electrode modification materials, and signal optimization strategies. Finally, the challenges and future development of electrochemical immunosensors in clinical applications are prospected.