Depression is a global threat to mental health that affects around 264 million people worldwide. Despite the considerable evolution in our understanding of the pathophysiology of depression, no reliable biomarkers that have contributed to objective diagnoses and clinical therapy currently exist. The discovery of the microbiota-gut-brain axis induced scientists to study the role of gut microbiota (GM) in the pathogenesis of depression. Over the last decade, many of studies were conducted in this field. The productions of metabolites and compounds with neuroactive and immunomodulatory properties among mechanisms such as the mediating effects of the GM on the brain, have been identified. This comprehensive review was focused on low molecular weight compounds implicated in depression as potential products of the GM. The other possible mechanisms of GM involvement in depression were presented, as well as changes in the composition of the microbiota of patients with depression. In conclusion, the therapeutic potential of functional foods and psychobiotics in relieving depression were considered. The described biomarkers associated with GM could potentially enhance the diagnostic criteria for depressive disorders in clinical practice and represent a potential future diagnostic tool based on metagenomic technologies for assessing the development of depressive disorders. © 2020 by the authors. Licensee MDPI, Basel, Switzerland.