The retinoid family members, including vitamin A and derivatives like 13-cis-retinoic acid (ITT) and all-trans retinoic acid (ATRA), are essential for normal functioning of the developing and adult brain. When vitamin A intake is excessive, however, or after ITT treatment, increased risks have been reported for depression and suicidal ideation. Here, we review pre-clinical and clinical evidences supporting association between retinoids and depressive disorders and discuss several possible underlying neurobiological mechanisms. Clinical evidences include case reports and studies from healthcare databases and government agency sources. Preclinical studies further confirmed that RA treatment induces hyperactivity of the hypothalamus-pituitary-adrenal (HPA) axis and typical depressive-like behaviors. Notably, the molecular components of the RA signaling are widely expressed throughout adult brain. We further discuss three most important brain systems, hippocampus, hypothalamus and orbitofrontal cortex, as major brain targets of RA. Finally, we highlight altered monoamine systems in the pathophysiology of RA-associated depression. A better understanding of the neurobiological mechanisms underlying RA-associated depression will provide new insights in its etiology and development of effective intervention strategies.