Depression is the leading psychiatric disorder worldwide with a significant economic and emotional strain on society. There is a need for robust biomarkers which will help improve diagnosis and accelerate the drug discovery process. These are objective, peripheral physiological indicators whose presence can be used to predict the probability of onset or presence of depression, stratify according to severity or symptomatology, indicate prognosis and predict or track response to therapeutic interventions. In this review, we will address several issues pertaining to biomarkers in depression which will be grouped under the headings transcriptomic, proteomic, genomic and telomeric biomarkers. We will review some of the main pitfalls and also address ethical, moral and legal issues which relate to biomarker use in the clinic. We anticipate that in conjunction with initiatives such as the NIH Research Domain Criteria (RDoC), biomarkers will have a significant role to play in the psychiatric clinic in the years to come with a view to improving the lives of sufferers worldwide.