Major depressive disorder (MDD) is a common and devastating psychiatric disorder characterized by persistent low mood, cognitive disorder, and impaired social function. Despite its complex mechanisms, increasing evidence has identified the involvement of neurotrophic factors, inflammatory cytokines, the hypothalamus-pituitary-adrenal axis, and glutamate receptors in the pathophysiology of this illness. The present review synthesizes recent research achievements to define the network between different hypotheses of MDD and to understand which part is most pivotal for its pathogenesis. By integrating MDD-related signal pathways, we highlight brain-derived neurotrophic factor (BDNF) dysfunction and increased apoptosis as the final common cascades, and new therapeutic strategies aiming to enhance BDNF function have been shown to exert a rapid and effective antidepressant action.