Major Depressive Disorder (MDD) is a psychiatric condition that represents an important public health concern in modern society. Current pharmacological antidepressant treatments improve depressive symptoms through complex mechanisms that are incompletely understood. There is a consensus that in the clinic they act through the modulation of monoaminergic neurotransmission, primarily involving the serotonin and norepinephrine systems. Recent studies have suggested that action of antidepressants on synaptic plasticity is mediated by their regulatory influence not only upon small-molecule neurotransmitters, but also via neuropeptides which may act both as neurotransmitters and as neuromodulators. Prominent among these neuropeptides is PACAP, whose signaling system is intensively studied for its pleiotropic involvement in various physiological and pathological conditions. This review outlines the current knowledge concerning the PACAP signaling system's involvement in depressive disorders.