Non-steroidal anti-inflammatory drugs (NSAIDs) require further investigation given mixed results regarding efficacy. We critically and systematically reviewed the literature to determine whether selective COX-2 and non-selective COX inhibitor NSAIDs as adjuncts or monotherapy affect depressive symptoms. Electronic databases including Embase, PsycINFO, Ovid Medline, ScienceDirect, Google Scholar and the Cochrane Central Register of Controlled Trials database were searched up to September 2013. We utilised randomised controlled trials (RCTs), cohort studies and an open label study examining the efficacy of NSAIDs as adjuncts or monotherapy on depressive symptoms in subjects without major comorbidities. There were a total of 6 studies exploring the efficacy of selective COX-2 inhibitor NSAIDs on depressive symptoms with a total of 2706 subjects from 6 RCTs. 4 of the RCTs showed a significant effect of NSAIDs; 2 demonstrated no effect. There were a total of 5 studies exploring the efficacy of non-selective COX inhibitor NSAIDs on depressive symptoms with a total of 7978 subjects. There was 1 RCT, 3 cohort studies and 1 open label pilot study. The RCT failed to show a significant result. 1 of the retrospective cohort studies showed a positive result, with the other 2 showing no effect. The pilot study showed a positive result for NSAIDs. These studies demonstrated significant methodological heterogeneity (i.e. age range, sex, presence of antidepressant use, method of depression measure, severity of depressive symptoms, duration and study design (RCT vs. cohort)). The efficacy of NSAIDs on depressive symptoms appears negligible, however firm conclusions are difficult given the inconsistent findings and substantial methodological heterogeneity. Further high quality research is needed to explore NSAID efficacy in clinical and biological subtypes of depression, as monotherapy and adjunct with various antidepressants, and across various ages.