The similarities between the depressive symptoms of Major Depressive Disorders (MDD) and Bipolar Disorders (BD) suggest these disorders have some commonality in their molecular pathophysiologies, which is not apparent from the risk genes shared between MDD and BD. This is significant, given the growing literature suggesting that changes in non-coding RNA may be important in both MDD and BD, because they are causing dysfunctions in the control of biochemical pathways that are affected in both disorders. Therefore, understanding the changes in non-coding RNA in MDD and BD will lead to a better understanding of how and why these disorders develop. Furthermore, as a significant number of individuals suffering with MDD and BD do not respond to medication, identifying non-coding RNA that are altered by the drugs used to treat these disorders offer the potential to identify biomarkers that could predict medication response. Such biomarkers offer the potential to quickly identify patients who are unlikely to respond to traditional medications so clinicians can refocus treatment strategies to ensure more effective outcomes for the patient. This review will focus on the evidence supporting the involvement of non-coding RNA in MDD and BD and their potential use as biomarkers for treatment response.