Depression, also called major depressive disorder, is a neuropsychiatric disorder jeopardizing an increasing number of the population worldwide. To date, a large number of studies have devoted great attention to this problematic condition and raised several hypotheses of depression. Based on these theories, many antidepressant drugs were developed for the treatment of depression. Yet, the depressed patients are often refractory to the antidepressant therapies. Recently, increasing experimental evidences demonstrated the effects of calorie restriction in neuroendocrine system and in depression. Both basic and clinical investigations indicated that short-term calorie restriction might induce an antidepressant efficacy in depression, providing a novel avenue for treatment. Molecular basis underlying the antidepressant actions of calorie restriction might involve multiple physiological processes, primarily including orexin signaling activation, increased CREB phosphorylation and neurotrophic effects, release of endorphin and ketone production. However, the effects of chronic calorie restriction were quite controversial, in the cases that it often resulted in the long-term detrimental effects via inhibiting the function of 5-HT system and decreasing leptin levels. Here we review such dual effects of calorie restriction in depression and potential molecular basis behind these effects, especially focusing on antidepressant effects.