Depression is a complex heterogeneous brain disorder characterized by a range of symptoms, resulting in psychomotor and cognitive disabilities and suicidal thoughts. Its prevalence has reached an alarming level affecting millions of people globally. Despite advances in current pharmacological treatments, the heterogenicity of clinical response and incidences of adverse effects have shifted research focus to identification of new natural substances with minimal or no adverse effects as therapeutic alternatives. Marine algae-derived extracts and their constituents are considered potential sources of secondary metabolites with diverse beneficial effects. Marine algae with enormous health benefits are emerging as a natural source for discovering new alternative antidepressants. Its medicinal properties exhibited shielding efficacy against neuroinflammation, oxidative stress, and mitochondrial dysfunction, which are indicated to underlie the pathogenesis of many neurological disorders. Marine algae have been found to ameliorate depressive-like symptoms and behaviors in preclinical and clinical studies by restoring monoaminergic neurotransmission, hypothalamic-pituitary-adrenal axis function, neuroplasticity, and continuous neurogenesis in the dentate gyrus of the hippocampus via modulating brain-derived neurotrophic factors and antineuroinflammatory activity. Although antidepressant effects of marine algae have not been validated in comparison with currently available synthetic antidepressants, they have been reported to have effects on the pathophysiology of depression, thus suggesting their potential as novel antidepressants. In this review, we analyzed the currently available research on the potential benefits of marine algae on depression, including their effects on the pathophysiology of depression, potential clinical relevance of their antidepressant effects in preclinical and clinical studies, and the underlying mechanisms of these effects.