This article is aimed at showing the current level of evidence for the usage of biofeedback and neurofeedback to treat depression along with a detailed review of the studies in the field and a discussion of rationale for utilizing each protocol. La Vaque et al. criteria endorsed by the Association for Applied Psychophysiology and Biofeedback and International Society for Neuroregulation & Research were accepted as a means of study evaluation. Heart rate variability (HRV) biofeedback was found to be moderately supportable as a treatment of MDD while outcome measure was a subjective questionnaire like Beck Depression Inventory (level 3/5, “probably efficacious”). Electroencephalographic (EEG) neurofeedback protocols, namely, alpha-theta, alpha, and sensorimotor rhythm upregulation, all qualify for level 2/5, “possibly efficacious.” Frontal alpha asymmetry protocol also received limited evidence of effect in depression (level 2/5, “possibly efficacious”). Finally, the two most influential real-time functional magnetic resonance imaging (rt-fMRI) neurofeedback protocols targeting the amygdala and the frontal cortices both demonstrate some effectiveness, though lack replications (level 2/5, “possibly efficacious”). Thus, neurofeedback specifically targeting depression is moderately supported by existing studies (all fit level 2/5, “possibly efficacious”). The greatest complication preventing certain protocols from reaching higher evidence levels is a relatively high number of uncontrolled studies and an absence of accurate replications arising from the heterogeneity in protocol details, course lengths, measures of improvement, control conditions, and sample characteristics.