Major depressive disorder (MDD) is currently the main cause of disability worldwide, but its pathophysiology remains largely unknown, especially given its high heterogeneity in terms of clinical phenotypes and biological characteristics. Accordingly, its management is still poor. Increasing evidence suggests that oxidative stress, measured on various matrices such as serum, plasma or erythrocytes, has a critical role in MDD. The aim of this narrative review is to identify serum, plasma and erythrocyte biomarkers of oxidative stress in MDD patients according to disease stage and clinical features. Sixty-three articles referenced on PubMed and Embase between 1 January 1991, and 31 December 2022, were included. Modifications to antioxidant enzymes (mainly glutathione peroxidase and superoxide dismutase) in MDD were highlighted. Non-enzymatic antioxidants (mainly uric acid) were decreased in depressed patients compared to healthy controls. These changes were associated with an increase in reactive oxygen species. Therefore, increased oxidative damage products (principally malondialdehyde, protein carbonyl content and 8-hydroxy-2′-deoxyguanosine) were present in MDD patients. Specific modifications could be identified according to disease stages and clinical features. Interestingly, antidepressant treatment corrected these changes. Accordingly, in patients in remission from depression, oxidative stress markers were globally normalized. This narrative review suggests the particular interest of oxidative stress biomarkers for MDD care that may contribute to the heterogeneity of the disease and provide the opportunity to find new therapeutic targets.