Recent lifestyles changes have favored increased time in contact with screens and a parallel reduction in contact with natural environments. There is growing awareness that nature exposure and screen time are related to depression. So far, the roles of how these environmental lifestyles affect depressive symptoms and disorders have not been reviewed simultaneously. The aim of this review was to gather the literature regarding the role of nature exposure and screen time in depression. An emphasis was made on clinical samples of patients with well-defined depression and the different methodological approaches used in the field. A second goal was to suggest an agenda for clinical practice and research. Studies were included if they assessed depressive symptoms in patients with a clinical diagnosis of depression. An overview of the published literature was conducted using three scientific databases up to December 2021. Several interventions involving nature exposure have shown positive effects on depressive symptoms and mood-related measures. The most consistent finding suggests that walks in natural environments may decrease depressive symptoms in patients with clinical depression. Less researched interventions, such as psychotherapy delivered in a forest or access to natural environments via virtual reality, may also be effective. In contrast, fewer observational studies and no experimental research on screen time have been conducted in patients with clinical depression. Thus, recommendations for practice and research are also discussed. Scarce research, diverse interventions, and several methodological shortcomings prevent us from drawing conclusions in this area. More high-quality experimental research is needed to establish interventions with proven efficacy in clinical depression. At this stage, it is too early to formulate practice guidelines and advise the prescription of these lifestyles to individuals with depression. The present findings may serve as a basis to develop strategies based on nature exposure and screen time targeting clinical depression.