Major depressive disorder (MDD) is one of the most common mental illnesses that poses a serious threat to public health. MDD is associated with various biological changes, such as increased inflammation, oxidative stress, dysregulation of the stress axis, and changes in growth factors. These changes may be used as potential biomarkers to facilitate more accurate diagnosis and effective treatment of depression. Recently, a growing interest has been in identifying biomarkers that could be objective indicators of the patient’s condition, opening up new horizons for diagnosis and treatment and allowing a more personalized approach to each patient. This review covers current studies on biomarkers that can objectively indicate the patient’s condition. Particular attention is paid to methods for detecting these biological markers and their prospects in clinical practice, including diagnosis, monitoring the effectiveness of therapy, and predicting relapses. Such approaches can significantly improve the treatment outcomes and quality of life of patients with depression.