Revealing the neurobiological mechanism of depression has always been a big challenge in the field of neuroscience. Not only are depressive syndromes heterogeneous and their aetiologies diverse, but also some symptoms are impossible to reproduce in animal models. Nevertheless, great progress has been made on the understanding and treatment of depression in recent years. In this review, we focus on key leading hypotheses in the neurobiological mechanism of depression, examine their strengths and weaknesses critically, and also highlight new insights that promise to extend the understanding of depression and its treatment.