Some core symptoms of major depression show a circadian rhythm in their clinical manifestations or are intimately linked to the circadian system functioning, such as sleep-wake cycle. Moreover, abnormalities in circadian rhythms of core body temperature and some endocrine-metabolic parameters have been detected in depressive patients compared to healthy controls. The circadian rhythm disturbances described in depressive states as well as the efficacy and fast onset of action of chronobiological based treatments point out the circadian system as an therapeutic target in the treatment of depression. The aim of this work is to review the biological and clinical data that link major depression to circadian rhythm abnormalities, the mechanisms that may underlie the abnormalities of circadian rhythm physiology seen in depressive states and the different therapeutic approaches to depression that involve the circadian system in their mechanisms of action.