There has been a limited number of systematic reviews conducted to summarize the overview of the relationship between DNA methylation and depression, and to critically appraise the roles of major study characteristics in the accuracy of study findings. This systematic review aims to critically appraise the impact of study characteristics on the association between DNA methylation and depression, and summarize the overview of this association. Electronic databases and gray literatures until December 2017 were searched for English-language studies with standard diagnostic criteria of depression. A total of 67 studies were included in this review along with a summary of their study characteristics. We grouped the findings into etiological and treatment studies. Majority of these selected studies were recently published and from developed countries. Whole blood samples were the most studied common tissues. Bisulfite conversion, along with pyrosequencing, was widely used to test the DNA methylation level across all the studies. High heterogeneity existed among the studies in terms of experimental and statistical methodologies and study designs. As recommended by the Cochrane guideline, a systematic review without meta-analysis should be undertaken. This review has, in general, found that DNA methylation modifications were associated with depression. Subgroup analyses showed that most studies found BDNF and SLC6A4 hypermethylations to be associated with MDD or depression in general. In contrast, studies on NR3C1, OXTR, and other genes, which were tested by only few studies, reported mixed findings. More longitudinal studies using standardized experimental and laboratory methodologies are needed in future studies to enable more systematical comparisons and quantitative synthesis.