Structural and functional brain alterations are common in patients with major depressive disorder (MDD). In this review, we assessed the recent literature (1995–2018) on the structural and functional magnetic resonance imaging (MRI) studies of MDD. Despite the growing number of MRI studies on MDD, reverse inference is not possible as MRI scans cannot be used to aid in the diagnosis or treatment planning of patients with MDD. Hence, researchers must develop “bridges” to overcome the reverse inference fallacy in order to build effective tools for MDD diagnostics. From our findings, we proposed that the “bridges” may be built using multidisciplinary technologies, such as artificial intelligence, multimodality imaging, and nanotheranostics, allowing for the further study of MDD at the biological level. In return, the “bridges” will aid in the development of future diagnostics for MDD and other mental disorders.