Neurofeedback, a non-invasive intervention, has been increasingly used as a potential treatment for major depressive disorders. However, the effectiveness of neurofeedback in alleviating depressive symptoms remains uncertain. To address this gap, we conducted a comprehensive meta-analysis to evaluate the efficacy of neurofeedback as a treatment for major depressive disorders. We conducted a comprehensive meta-analysis of 22 studies investigating the effects of neurofeedback interventions on depression symptoms, neurophysiological outcomes, and neuropsychological function. Our analysis included the calculation of Hedges’ g effect sizes and explored various moderators like intervention settings, study designs, and demographics. Our findings revealed that neurofeedback intervention had a significant impact on depression symptoms (Hedges’ g = −0.600) and neurophysiological outcomes (Hedges’ g = −0.726). We also observed a moderate effect size for neurofeedback intervention on neuropsychological function (Hedges’ g = −0.418). As expected, we observed that longer intervention length was associated with better outcomes for depressive symptoms (β = −4.36, P < 0.001) and neuropsychological function (β = −2.89, P = 0.003). Surprisingly, we found that shorter neurofeedback sessions were associated with improvements in neurophysiological outcomes (β = 3.34, P < 0.001). Our meta-analysis provides compelling evidence that neurofeedback holds promising potential as a non-pharmacological intervention option for effectively improving depressive symptoms, neurophysiological outcomes, and neuropsychological function in individuals with major depressive disorders.