The etiopathogenesis of depression is a highly complex process characterized by several neurobiological alterations including decreased monoamine neurotransmission in the brain, dysregulated hypothalamic-pituitary-adrenal axis activity, decreased neuronal plasticity, and chronic inflammation in the brain and peripheral tissues. Experimental and clinical studies indicate that the vagus nerve may influence these processes. The importance of the vagus nerve in the etiopathogenesis of depression is further supported by its involvement in the induction of sickness behavior, as well as by clinical studies confirming a beneficial effect of vagus nerve stimulation in depressed patients. The aim of this article is to describe current knowledge of afferent and efferent vagal pathways role in the development and progression of depression.