Major life events can lead to depression in adulthood. However, as predicted by several depression theories (e.g., Hopelessness Theory of Depression), not only the mere occurrence of major life events but also the way people perceive them determines the onset of a depression. In this systematic review, we narratively summarized 276 studies (total N = 89,600) investigating the relationship between the perception of major life events and depression. Cross-sectionally, several perceived event characteristics such as globality, valence, impact, distress, and loss were consistently associated with depression. Furthermore, some perceived event characteristics such as a negative attributional style and event centrality predicted the onset of depression or changes in depressive symptoms over time. However, longitudinal studies on the relationship between perceived event characteristics and depression were scarce. In general, our review supports the relevance of the perceived event characteristics proposed in Hopelessness Theory of Depression (e.g., stability, internality, globality, and their composite scores) and other depression theories. However, further longitudinal research considering a range of different perceived event characteristics, using non-Western heterogeneous samples, and different retest intervals are needed to better understand the association between the perception of major life events and depression.