Links between olfactory sensory function and effect have been well established. A robust literature exists in both humans and animals showing that disrupting olfaction sensory function can elicit disordered mood state, including serve as a model of depression. Despite this, considerably less is known regarding the directionality and neural basis of this relationship, e.g. whether disruptions in sensory function precede and contribute to altered mood or if altered mood state precipitates changes in olfactory perception. Further, the neural basis of altered olfactory function in depression remains unclear. In conjunction with clinical studies, animal models represent a valuable tool to understand the relationship between altered mood and olfactory sensory function. Here, we review the relevant literature assessing olfactory performance in depression in humans and in rodent models of depressive-like behavioral states. Rodents allow for detailed characterization of alterations in olfactory perception, manipulation of experiential events that elicit depressive-like phenotypes, and allow for interrogation of potential predictive markers of disease and the cellular basis of olfactory impairments associated with depressive-like phenotypes. We synthesize these findings to identify paths forward to investigate and understand the complex interplay between depression and olfactory sensory function.