Hypothalamic–pituitary–thyroid axis seems to play an important role in the pathogenesis of depression in hypothyroid patients. Studies have shown that hypothyroidism can induce mood changes and major depressive disorders, but what governs the reason for this linkage and the most suitable therapy to manage this condition is not very clear. We aim to investigate the various existing therapies administered for depression due to hypothyroidism and the potential scope of yoga therapy to treat these conditions effectively. A systematic literature search of five databases, namely, EBSCO, SCOPUS, PROQUEST, PubMed, and Elsevier using the keywords in the area of “hypothyroidism, depression, and therapies” was carried out till the period 2023 following the “Preferred Reporting Items for Systematic Reviews and Meta-Analyses” guidelines to select the relevant English-language peer-reviewed articles for the study. The objective of this study was to present the work done so far in the field of treating depression in hypothyroidism through therapy techniques. The paper reviews 18 specific empirical studies on various available therapies administered for depression in hypothyroidism and based on the extant literature covers four broad themes: (1) hormone therapy, (2) antidepressant pharmacotherapy, (3) cognitive psychotherapy, and (4) yoga therapy. This review provides a clear need for more yoga therapy studies, as only two yoga studies were found for treating depression in hypothyroidism that have shown significant outcomes.