Although several pharmacological options to treat depression are currently available, approximately one third of patients who receive antidepressant medications do not respond adequately or achieve a complete remission. Thus, novel strategies are needed to successfully address those who did not respond, or partially respond, to available antidepressant pharmacotherapy. Research findings revealed that the opioid system is significantly involved in the regulation of mood and incentives salience and may be an appropriate target for novel therapeutic agents. The present study aimed to systematically review the current literature about the use of buprenorphine (BUP) for major depression, treatment-resistant depression (TRD), non-suicidal self-injury (NSSI) behavior, and suicidal behavior. We investigated Pubmed and Scopus databases using the following keywords: “buprenorphine AND depression”, “buprenorphine AND treatment resistant depression”, “buprenorphine AND suicid*”, “buprenorphine AND refractory depression”. Several evidence demonstrate that, at low doses, BUP is an efficacious, well-tolerated, and safe option in reducing depressive symptoms, serious suicidal ideation, and NSSI, even in patients with TRD. However, more studies are needed to evaluate the long-term effects, and relative efficacy of specific combinations (e.g., BUP + samidorphan (BUP/SAM), BUP + naloxone (BUP/NAL), BUP + naltrexone) over BUP monotherapy or adjunctive BUP treatment with standard antidepressants, as well as to obtain more uniform guidance about the optimal BUP dosing interval.