Major depressive disorder is a serious medical illness which is responsible for considerable morbidity and disability. Despite decades of research, the neural basis for depression is still incompletely understood. In this review, evidence from neuroimaging, neuropsychiatric and brain stimulations studies are explored to answer the question regarding the localization of depression in the brain. Neuroimaging studies indicate that although many regions of the brain have been repeatedly implicated in the pathophysiology of depression, not many consistent findings have been found until present. In recent times, the focus of neuroimaging has shifted from regional brain abnormalities to circuit level connectivity abnormalities. However, connectivity models are inherently more complicated, and the validity of these models remains to be tested. Neuropsychiatric studies of illnesses such as Parkinson's disease and stroke provide promising clues regarding areas involved in depression, but again consistent findings are rare. Similarly, stimulation of a variety of brain regions and circuits has been reported as being effective in depression. Therefore, the current knowledge indicates that the pathophysiology of depression may be distributed across many brain regions and circuits. In future studies, this distributed nature of depression needs to be further investigated, primary and secondary areas affected need to be identified, and new paradigms to explain complex mental functions need to be explored.