Multiplex immunoassays have been developed to detect multiple proteins simultaneously and are used to search for biomarkers, including those present in major psychiatric disorders. This study aimed to review multiplex immunoassay studies on cerebrospinal fluid (CSF) biomarkers in patients with schizophrenia, bipolar disorder (BD), and major depressive disorder (MDD) and examine future research directions using improved proteomic techniques. According to the results of previous multiplex immunoassay studies, increased CSF IFN‐β, IL‐8, MCP‐2, MMP‐2, PAI‐1, sICAM‐1, and sVCAM‐1 and decreased CSF ACE, APP, fibrinogen, and GDNF were observed in patients with schizophrenia, while CSF HGF and S100B were positively correlated with psychotic symptom and CSF IL‐11, IL‐29/IFN‐λ1, and TSLP were negatively correlated. Increased CSF IFN‐β and IL‐1β and decreased CSF Aβ42, APP, IL‐6, and NCAM‐1 were observed, while CSF S100B was positively correlated with manic symptom in patients with BD. Increased CSF IL‐4, MCP‐1, MIP‐1β, and MMP‐2 were observed in patients with MDD, while CSF HGF and MMP‐2 were positively correlated with depressive symptom and CSF IL‐15 and MCP‐1 were negatively correlated. However, signal cross‐talk and cross‐reactivity problems have been observed in previous studies using multiplex immunoassay. The proximity extension assay can be used to overcome cross‐reactivity and enable ultrasensitive multiplexed detection and quantification of more than 1000 target proteins. However, proteomic studies using proximity extension assay technology in patients with schizophrenia, BD, or MDD are still scarce. Therefore, future high‐quality proteomic studies are required to identify CSF biomarkers for larger sets of target proteins in patients with major psychiatric disorders.