A complex pathogenesis involving several physiological systems is theorized to underline the development of depressive disorders. Depression is accompanied by circadian regulation disruption and interaction with the functioning of both central and peripheral oscillators. Many aspects of melatonin function unite these systems. The use of drugs for circadian rhythm disorders could inspire a potential treatment strategy for depression. Melatonin plays an essential role in the regulation of circadian rhythms. It exerts effect by activating two types of melatonin receptors, type 1A (MT1) and 1B (MT2). These are G-protein-coupled receptors, predominantly located in the central nervous system. MT1/MT2 agonists could be a useful treatment approach according to all three prevalent theories of the pathogenesis of depression involving either monoamines, synaptic remodeling, or immune/inflammatory events. MT1/MT2 receptors can be a potential target for novel antidepressants with impact on concentrations of neurotrophins or neurotransmitters, and reducing levels of pro-inflammatory cytokines. There is an interesting cross-talk mediated via the physical association of melatonin and serotonin receptors into functional heteromers. The antidepressive and neurogenetic effects of MT1/MT2 agonists can also be caused by the inhibition of the acid sphingomyelinase, leading to reduced ceramide, or increasing monoamine oxidase A levels in the hippocampus. Compounds targeting MT1 and MT2 receptors could have potential for new anti-depressants that may improve the quality of therapeutic interventions in treating depression and relieving symptoms. In particular, a combined effect on MT1 and/or MT2 receptors and neurotransmitter systems may be useful, since the normalization of the circadian rhythm through the melatonergic system will probably contribute to improved treatment. In this review, we discuss melatonergic receptors as a potential additional target for novel drugs for depression.