Background: Depression has been shown to be associated with eye diseases, including dry eye disease (DED), cataracts, glaucoma, age-related macular degeneration (AMD), and diabetic retinopathy (DR). This narrative review explores potential pathophysiological connections between depression and eye disease, as well as its potential correlations with ocular parameters. Methods: A literature search was conducted in August 2022 in PUBMED, EMBASE, and PsycINFO. Published articles related to the subject were consolidated and classified according to respective eye diseases and pathophysiological mechanisms. Results: The literature reviewed suggests that common pathophysiological states like inflammation and neurodegeneration may contribute to both depression and certain eye diseases, while somatic symptoms and altered physiology, such as disruptions in circadian rhythm due to eye diseases, can also influence patients’ mood states. Grounded in the shared embryological, anatomical, and physiological features between the eye and the brain, depression is also correlated to changes observed in non-invasive ophthalmological imaging modalities, such as changes in the retinal nerve fibre layer and retinal microvasculature. Conclusions: There is substantial evidence of a close association between depression and eye diseases. Understanding the underlying concepts can inform further research on treatment options and monitoring of depression based on ocular parameters.