<p>Millions of people worldwide suffer from major depressive disorder (MDD), often known as clinical depression, a severe mental illness that has a significant influence on both people and society. Therefore, to improve results and avoid potential problems, early identification and treatment of MDD are crucial. The study of RNA’s function in MDD is increasingly focused on how various RNA molecules, such as microRNAs (miRNAs), affect gene expression. It may play a part in the onset or progression of MDD. miRNAs are believed to influence the pathophysiology of MDD through various pathways, including inflammation, neurogenesis, stress response, modulation of the hypothalamic–pituitary–adrenal axis, neuroplasticity, and regulation of the neurotransmitter system. With the potential to enhance diagnosis, therapy, and perhaps even spark the development of novel therapeutic approaches, miRNAs constitute a promising field of study in MDD. In this review, we investigated the role of miRNAs in the diagnosis and treatment of MDD. Then, due to the clinical limitations of miRNAs in the diagnosis and treatment of depression, we investigated the use of nanoparticles in the targeted and accurate treatment and diagnosis of MDD. More precise diagnostics are made possible by nanoparticles, which can also enhance the distribution of miRNA to specific cells and protect them from destruction. Lastly, we discuss the real-world challenges and potential applications of miRNA nanotechnology in the diagnosis and treatment of MDD. This comprehensive review combines evidence from PubMed/NCBI, Google Scholar, ClinicalTrials.gov, and book proceedings (published between 2010 and 2025).</p> Graphical Abstract <p></p>