Major depressive disorder (MDD) is a life‐threatening disease that presents several characteristics. The pathogenesis of depression still remains poorly understood. Moreover, the mechanistic interactions of natural components in treating depression to target autophagy and neuroinflammation are yet to be evaluated. This study overviewed the effects of plant‐derived natural components in regulating critical pathways, particularly neuroinflammation and autophagy, associated with depression. A list of natural components, including luteolin, apigenin, hyperforin, resveratrol, salvianolic acid b, isoliquiritin, nobiletin, andrographolide, and oridonin, have been investigated. All peer‐reviewed journal articles were searched by Scopus, MEDLINE, PubMed, Web of Science, and Google Scholar using the appropriated keywords, including depression, neuroinflammation, autophagy, plant, natural components, etc. The neuroinflammation and autophagy dysfunction are critically associated with the pathophysiology of depression. Natural components with higher efficiency and lower complications can be used for targeting neuroinflammation and autophagy. These components with different doses showed the beneficial antidepressant properties in rodents. These can modulate autophagy markers, mainly AMPK, LC3II/LC3I ratio, Beclin‐1. Moreover, they can regulate the NLRP3 inflammasome, resulting in the suppression of proinflammatory cytokines (e.g., IL‐1β and IL‐18). Future in vitro and in vivo studies are required to develop novel therapeutic approaches based on plant‐derived active components to treat MDD.