Research on sensorial interactions with psychiatric diseases and particularly with the depressive syndrome has mainly focused on visual or auditory processes and much less on olfaction. The depressive illness is one of the most frequent psychiatric diagnoses in the community, with approximately one in five women and one in eight men experiencing a major depressive episode during their lifetime. Although genetic, epigenetic, neuroanatomical, neurochemical, neuroendocrinological and neuroimmunological changes can be detected during depression, the etiology of depression remains partly unclear. The current explanatory models are based on two main factors, i.e. pharmacological dysfunctions and stress effects. In this way and because of strong connections between olfactory pathways and cerebral areas implied in mood regulation and emotions (i.e. the limbic system and prefrontal areas), the interactions between olfaction and depression could constitute a relevant way of research at three different levels. First, olfactory dysfunction observed in depression could serve the diagnosis and contribute to a better understanding of mechanisms implied in thymic pathologies. Published papers show a decrease of olfactory sensitivity in major depression which does not occur in bipolar or saisonal depression. Second, it has been shown that olfactory deficits could induce depressive symptoms. In this context, an animal model (olfactory bulbectomized rat) reinforces the hypothesis of the important role of olfaction in depression based on neuroanatomical and neurochemical observations. Third, several publications have demonstrated that odors can positively impact the depressive mood. Thus, a remediation by odors in depression appears to be a promising way. From several decades, the olfaction/depression interactions have been covered by a broad literature. Thus, the present review will not propose an exhaustive examination but aims to point out the most recently published papers and highlight their contributions to the understanding of olfactory processes implied in depression.