A review of published observational studies of neighbourhoods and depression/depressive symptoms was conducted to inform future directions for the field. Forty-five English-language cross-sectional and longitudinal studies that analysed the effect of at least one neighbourhood-level variable on either depression or depressive symptoms were analysed. Of the 45 studies, 37 reported associations of at least one neighbourhood characteristic with depression/depressive symptoms. Seven of the 10 longitudinal studies reported associations of at least one neighbourhood characteristic with incident depression. Socioeconomic composition was the most common neighbourhood characteristic investigated. The associations of depressive symptoms/depression with structural features (socioeconomic and racial composition, stability and built environment) were less consistent than with social processes (disorder, social interactions, violence). Among the structural features, measures of the built environment were the most consistently associated with depression but the number of studies was small. The extent to which these associations reflect causal processes remains to be determined. The large variability in studies across neighbourhood definitions and measures, adjustment variables and study populations makes it difficult to draw more than a few general qualitative conclusions. Improving the quality of observational work through improved measurement of neighbourhood attributes, more sophisticated consideration of spatial scale, longitudinal designs and evaluation of natural experiments will strengthen inferences regarding causal effects of area attributes on depression.