Major depressive disorders are common and disabling conditions associated with significant psychosocial impairment and suicide risk. At least 3-4 % of all depressive individuals die by suicide. Evidence suggests that small non-coding RNAs, in particular microRNAs (miRNAs), play a critical role in major affective disorders as well as suicide. We performed a detailed review of the current literature on miRNAs and their targets in major depression and related disorders as well as suicidal behavior, with a specific focus on miR-185 and miR-491-3p, which have been suggested to participate in the pathogenesis of major depression and/or suicide. miRNAs play a fundamental role in the development of the brain. Several miRNAs are reported to influence neuronal and circuit formation by negatively regulating gene expression. Global miRNA reduced expression was found in the prefrontal cortex of depressed suicide completers when compared to that of nonpsychiatric controls who died of other causes. One particular miRNA, miR-185, was reported to regulate TrkB-T1, which has been associated with suicidal behavior upon truncation. Furthermore, cAMP response element-binding protein-brain-derived neurotrophic factor pathways may regulate, through miRNAs, the homeostasis of neural and synaptic pathways playing a crucial role in major depression. miRNAs have gained attention as key players involved in nervous system development, physiology, and disease. Further evidence is needed to clarify the exact role that miRNAs play in major depression and related disorders and suicidal behavior.