Major depressive disorder (MDD) is a common mental disorder associated with a significant negative impact on quality of life, morbidity/mortality, and cognitive function. Individuals who suffer with MDD display lower serum/plasmatic total antioxidant potentials and reduced brain GSH levels. Also, F2-isoprostanes circulatory levels are increased in MDD subjects and are correlated with the severity of depressive symptoms. Urinary excretion of 8-OHdG seems to be higher in patients with MDD compared to healthy controls. Despite the fact that antidepressant drugs have been used for more than 50 years, their mechanism of action is still not fully understood. This paper examines preclinical (in vitro and animal model) and clinical literature on oxidative/antioxidant effects associated with antidepressant agents and discusses their potential antioxidant-related effects in the treatment of MDD. Substantial data support that MDD seems to be accompanied by elevated levels of oxidative stress and that antidepressant treatments may reduce oxidative stress. These studies suggest that augmentation of antioxidant defences may be one of the mechanisms underlying the neuroprotective effects of antidepressants in the treatment of MDD.