Depression, a highly prevalent mental disorder worldwide, arises from multifaceted interactions involving neurotransmitter imbalances, inflammatory responses, and gut–brain axis dysregulation. Emerging evidence highlights the pivotal role of bile acids (BAs) and their receptors, including farnesoid X receptor (FXR), Takeda G protein-coupled receptor 5 (TGR5), and liver X receptors (LXRs) in depression pathogenesis through modulation of neuroinflammation, gut microbiota homeostasis, and neural plasticity. Clinical investigations demonstrated altered BA profiles in depressed patients, characterized by decreased primary BAs (e.g., chenodeoxycholic acid (CDCA)) and elevated secondary BAs (e.g., lithocholic acid (LCA)), correlating with symptom severity. Preclinical studies revealed that BAs ameliorate depressive-like behaviors via dual mechanisms: direct CNS receptor activation and indirect gut–brain signaling, regulating neuroinflammation, oxidative stress, and BDNF/CREB pathways. However, clinical translation faces challenges including species-specific BA metabolism, receptor signaling complexity, and pharmacological barriers (e.g., limited blood–brain barrier permeability). While FXR/TGR5 agonists exhibit neuroprotective and anti-inflammatory potential, their adverse effects (pruritus, dyslipidemia) require thorough safety evaluation. Future research should integrate multiomics approaches and interdisciplinary strategies to develop personalized BA-targeted therapies, advancing novel treatment paradigms for depression.