Major depressive disorder (MDD), also called depression, is a serious disease that impairs the quality of life of patients and has a high incidence, affecting approximately 3.8% of the world population. Its diagnosis is very subjective and is not supported by measurable biomarkers mainly due to the lack of biochemical markers. Recently, disturbance of lipid profiling has been recognized in MDD, in animal models of MDD or in depressed patients, which may contribute to unravel the etiology of the disease and find putative new biomarkers, for a diagnosis or for monitoring the disease and therapeutics outcomes. In this review, we provide an overview of current knowledge of lipidomics analysis, both in animal models of MDD (at the brain and plasma level) and in humans (in plasma and serum). Furthermore, studies of lipidomics analyses after antidepressant treatment in rodents (in brain, plasma, and serum), in primates (in the brain) and in humans (in plasma) were reviewed and give evidence that antidepressants seem to counteract the modification seen in lipids in MDD, giving some evidence that certain altered lipid profiles could be useful MDD biomarkers for future precision medicine.