Major depressive disorder (MDD) is characterized by mood, vegetative, cognitive, and even psychotic symptoms and signs that can cause substantial impairments in quality of life and functioning. Biomarkers are measurable indicators that could help diagnosing MDD or predicting treatment response. In this chapter, lipid profiles, immune/inflammation, and neurotrophic factor pathways that have long been implicated in the pathogenesis of MDD are discussed. Then, pharmacogenetics and epigenetics of serotonin transport and its metabolism pathway, brain-derived neurotrophic factor, and abnormality of hypothalamo-pituitary-adrenocortical axis also revealed new biomarkers. Lastly, new techniques, such as proteomics and metabolomics, which allow researchers to approach the studying of MDD with new directions and make new discoveries are addressed. In the future, more data are needed regarding pathophysiology of MDD, including protein levels, single nucleotide polymorphism, epigenetic regulation, and clinical data in order to better identify reliable and consistent biomarkers for diagnosis, treatment choice, and outcome prediction.