Major depressive disorder (MDD) is one of the most prevalent and debilitating psychiatric disorders, with a large number of patients not showing an effective therapeutic response to available treatments. Several biopsychosocial factors, such as stress in childhood and throughout life, and factors related to biological aging, may increase the susceptibility to MDD development. Included in critical biological processes related to aging and underlying biological mechanisms associated with MDD is the shortening of telomeres and changes in telomerase activity. This comprehensive review discusses studies that assessed the length of telomeres or telomerase activity and function in peripheral blood cells and brain tissues of MDD individuals. Also, results from in vitro protocols and animal models of stress and depressive-like behaviors were included. We also expand our discussion to include the role of telomere biology as it relates to other relevant biological mechanisms, such as the hypothalamic-pituitary-adrenal (HPA) axis, oxidative stress, inflammation, genetics, and epigenetic changes. In the text and the discussion, conflicting results in the literature were observed, especially considering the size of telomeres in the central nervous system, on which there are different protocols with divergent results in the literature. Finally, the context of this review is considering cell signaling, transcription factors, and neurotransmission, which are involved in MDD and can be underlying to senescence, telomere shortening, and telomerase functions.