Deep Brain Stimulation (DBS) was originally developed as a therapeutic approach to manage movement disorders, in particular Parkinson's Disease. However, DBS also seems to be an effective treatment against refractory depression when patients fail to respond satisfactorily to conventional therapies. Thus, DBS targeting specific brain areas can produce an antidepressant response that improves depressive symptomatology, these areas including the subcallosal cingulate region, nucleus accumbens, ventral capsule/ventral striatum, medial forebrain bundle, the inferior thalamic peduncle and lateral habenula. Although the efficacy and safety of this therapy has been demonstrated in some clinical trials and preclinical studies, the intrinsic mechanisms underlying its antidepressant effect remain poorly understood. This review aims to provide a comprehensive overview of DBS, focusing on the molecular and cellular changes reported after its use that could shed light on the mechanisms underpinning its antidepressant effect. Several potential mechanisms of action of DBS are considered, including monoaminergic and glutamatergic neurotransmission, neurotrophic and neuroinflammatory mechanisms, as well as potential effects on certain intracellular signaling pathways. Although future studies will be necessary to determine the key molecular events underlying the antidepressant effect of DBS, the findings presented provide an insight into some of its possible modes of action.