Depression is a common psychiatric disorder that brings great pain and burden to patients and their families. However, the pathogenesis underlying the development of depression remains unclear, limiting the development of diagnostic and therapeutic approaches for the disease. Recently, an increasing number of studies have shown that long noncoding RNAs (lncRNAs) play modulatory roles in depression. Here, we summarize the general mechanism of action and their roles in depression. LncRNAs are suggested to exert regulatory functions in depression in various ways, including competing endogenous RNA (ceRNA) networks, interacting with epigenetic modifications, interacting with single-nucleotide polymorphisms (SNPs), acting in cis or trans on target genes and regulating the immune system. A total of 13 lncRNAs (involving 16 ceRNA regulatory axes) have been revealed to have regulatory mechanisms. The potential relationship between methylation modification and lncRNA was also analyzed through lncRNA expression profile data. Functional annotation analysis showed that methylation-related lncRNAs were mainly enriched in postsynaptic specialization, neuron-to-neuron synapses, asymmetric synapses, and postsynaptic density. This indicates that methylation-related lncRNAs may have an impact on the synaptic microenvironment and may thus contribute to the development of depression. Moreover, we predicted potential interactions between SNP sites and lncRNAs in depression by querying the database. Through this review, we hope to deepen the understanding of the regulatory landscape of lncRNAs in depression and propose that future efforts should focus on establishing comprehensive and robust diagnostic models and further revealing the exact mechanism of lncRNA action in depression by experimental evidence.