Alongside their function in primary haemostasis and thrombo-inflammation, platelets are increasingly considered a bridge between mental, immunological and coagulation-related disorders. This review focuses on the link between platelets and the pathophysiology of major depressive disorder (MDD) and its most frequent comorbidities. Platelet- and neuron-shared proteins involved in MDD are functionally described. Platelet-related studies performed in the context of MDD, cardiovascular disease, and major neurodegenerative, neuropsychiatric and neurodevelopmental disorders are transversally presented from an epidemiological, genetic and functional point of view. To provide a complete scenario, we report the analysis of original data on the epidemiological link between platelets and depression symptoms suggesting moderating and interactive effects of sex on this association. Epidemiological and genetic studies discussed suggest that blood platelets might also be relevant biomarkers of MDD prediction and occurrence in the context of MDD comorbidities. Finally, this review has the ambition to formulate some directives and perspectives for future research on this topic.