Omics technologies emerged as complementary strategies to genomics in the attempt to understand human illnesses. In general, proteomics technologies emerged earlier than those of metabolomics for major depressive disorder (MDD) research, but both are driven by the identification of proteins and/or metabolites that can delineate a comprehensive characterization of MDD's molecular mechanisms, as well as lead to the identification of biomarker candidates of all types—prognosis, diagnosis, treatment, and patient stratification. Also, one can explore protein and metabolite interactomes in order to pinpoint additional molecules associated with the disease that had not been picked up initially. Here, results and methodological aspects of MDD research using proteomics, metabolomics, and protein interactomics are reviewed, focusing on human samples.