Major Depressive Disorder (MDD) represents a major global health concern, a body-mind malady of rising prevalence worldwide nowadays. The complex network of mechanisms involved in MDD pathophysiology is subjected to epigenetic changes modulated by microRNAs (miRNAs). Serum free or vesicles loaded miRNAs have starred numerous publications, denoting a key role in cell-cell communication, systematically and in brain structure and neuronal morphogenesis, activity and plasticity. Upregulated or downregulated expression of these signaling molecules may imply the impairment of genes implicated in pathways of MDD etiopathogenesis (neuroinflammation, brain-derived neurotrophic factor (BDNF), neurotransmitters, hypothalamic-pituitary-adrenal (HPA) axis, oxidative stress, circadian rhythms...). In addition, these miRNAs could serve as potential biomarkers with diagnostic, prognostic and predictive value, allowing to classify severity of the disease or to make decisions in clinical management. They have been considered as promising therapy targets as well and may interfere with available antidepressant treatments. As epigenetic malleable regulators, we also conclude emphasizing lifestyle interventions with physical activity, mindfulness and diet, opening the door to new clinical management considerations.