Coffee is among the most widespread and healthiest beverages in the world. It is known to be a highly rich source of biologically active natural metabolites which possess therapeutic effects (i.e. caffeine) and functional properties (i.e. chlorogenic acids). Therefore, coffee can be considered a drink which has different positive effects on human health such as cardioprotective, neuroprotective, hepatoprotective, nephroprotective, etc. However, heavy coffee consumption may be related to some unpleasant symptoms, mainly anxiety, headache, increased blood pressure, nausea, and restlessness. During the past two decades, several studies have indicated that there is a close correlation between consumption of coffee and incidence of depression. In addition, phytochemical studies showed that caffeine is the main responsible constituent for antidepressant effects of coffee through multiple molecular mechanisms. The aim of the present paper was to collect the latest literature data (from 1984 to 2014) on the positive and negative impacts of coffee consumption on the major depressive disorders and to clarify the role of bioactive constituents of coffee in the related different clinical trials. To the best of our knowledge, this the first review on this topic.