Although the understanding of the pathophysiology of major depressive disorder (MDD) has advanced greatly, this has not been translated into improved outcomes. To date, no biomarkers have been identified for the diagnosis, prognosis, and therapeutic management of MDD. Thus, we aim to review the biomarkers that are differentially expressed in MDD. A systematic review was conducted in January 2022 in the PubMed/MEDLINE, Scopus, Embase, PsycINFO, and Gale Academic OneFile databases for clinical studies published from January 2001 onward using the following terms: "Depression" OR "Depressive disorder" AND "Metabolomic." Multiple metabolites were found at altered levels in MDD, demonstrating the involvement of cellular signaling metabolites, components of the cell membrane, neurotransmitters, inflammatory and immunological mediators, hormone activators and precursors, and sleep controllers. Kynurenine and acylcarnitine were identified as consistent with depression and response to treatment. The most consistent evidence found was regarding kynurenine and acylcarnitine. Although the data obtained allow us to identify how metabolic pathways are affected in MDD, there is still not enough evidence to propose changes to current diagnostic and therapeutic actions. Some limitations are the heterogeneity of studies on metabolites, methods for detection, analyzed body fluids, and treatments used. The experiments contemplated in the review identified increased or reduced levels of metabolites, but not necessarily increased or reduced the activity of the associated pathways. The information acquired through metabolomic analyses does not specify whether the changes identified in the metabolites are a cause or a consequence of the pathology.