Depression is a prevalent mental disorder that affects numerous individuals, manifesting as persistent anhedonia, sadness, and hopelessness. Despite extensive research, the exact causes and optimal treatment approaches for depression remain unclear. Extracellular vesicles (EVs), which carry biological molecules such as proteins, lipids, nucleic acids, and metabolites, have emerged as crucial players in both pathological and physiological processes. EVs derived from various sources exert distinct effects on depression. Specifically, EVs released by neurons, astrocytes, microglia, oligodendrocytes, immune cells, stem cells, and even bacteria contribute to the pathogenesis of depression. Moreover, there is growing interest in potential of EVs as diagnostic and therapeutic tools for depression. This review provides a comprehensive overview of recent research on EVs from different sources, their roles in depression, and their potential clinical applications.