A plethora of research has implicated hundreds of putative biomarkers for depression, but has not yet fully elucidated their roles in depressive illness or established what is abnormal in which patients and how biologic information can be used to enhance diagnosis, treatment and prognosis. This lack of progress is partially due to the nature and heterogeneity of depression, in conjunction with methodological heterogeneity within the research literature and the large array of biomarkers with potential, the expression of which often varies according to many factors. We review the available literature, which indicates that markers involved in inflammatory, neurotrophic and metabolic processes, as well as neurotransmitter and neuroendocrine system components, represent highly promising candidates. These may be measured through genetic and epigenetic, transcriptomic and proteomic, metabolomic and neuroimaging assessments. The use of novel approaches and systematic research programs is now required to determine whether, and which, biomarkers can be used to predict response to treatment, stratify patients to specific treatments and develop targets for new interventions. We conclude that there is much promise for reducing the burden of depression through further developing and expanding these research avenues.