Depression is known as one of important psychiatric disorders which could be associated with disability among various populations. Diagnostic and statistical manual of mental disorders, 4th edition (DSM-IV) and international statistical classification of diseases and related health problems (ICD-10) could be used as subjective diagnostic schemes for identification of mental disorders such as depression. Utilization of subjective diagnostic schemes are associated with limitations. Hence, it seems that employing of new diagnosis platforms is required. Multiple lines of evidence indicated that measurement of several biomarkers could be useful for detection patients with depression. Among of various types of biomarkers, microRNAs (miRNAs) have been emerged as powerful tools for diagnosis patients with depression. MiRNAs are small non-coding RNAs which act as epigenetic regulators. It has been showed that these molecules have critical roles in pathogenesis of many diseases such as depression. These molecules exert their effects via targeting a variety of cellular and molecular pathways involved in initiation and progression of depression. Hence, miRNAs could be used as diagnostic and therapeutic biomarkers in patients with depression. Besides miRNAs, exosomes as nano- carriers could have been emerged as diagnostic biomarkers in several diseases such as depression. These vesicles are able to carry several cargos such as DNAs, proteins, mRNAs, and miRNAs to recipient cells. Here, we summarized several miRNAs involved in pathogenesis and response to treatment of depression which could be used as diagnostic biomarkers. Moreover, we highlighted exosomes as new diagnostic biomarkers for patients with depression.