Daily rhythm of melatonin synchronizes the body to the light/dark environmental cycle. Several hypotheses have been raised to understand the intersections between melatonin and depression, in which changes in rest-activity and sleep patterns are prominent. This review describes key experimental and clinical evidence that link melatonin with the etiopathology and symptomatology of depressive states, its role in the follow up of therapeutic response to antidepressants, as well as the clinical evidence of melatonin as MDD treatment. Melatonin, as an internal temporal cue contributing to circadian organization and best studied in the context of circadian misalignment, is also implicated in neuroplasticity. The monoaminergic systems that underly MDD and melatonin production overlap. In addition, the urinary metabolite 6-sulfatoxymelatonin (aMT6) has been proposed as biomarker for antidepressant responders, by revealing whether the blockage of noradrenaline uptake has taken place within 24 h from the first antidepressant dose. Even though animal models show benefits from melatonin supplementation on depressive-like behavior, clinical evidence is inconsistent vis-à-vis prophylactic or therapeutic benefits of melatonin or melatonin agonists in depression. We argue that the study of melatonin in MDD or other psychiatric disorders must take into account the specificities of melatonin as an integrating molecule, inextricably linked to entrainment, metabolism, immunity, neurotransmission, and cell homeostasis.