Investigations of preclinical biomarkers for major depressive disorder (MDD) encompass the quantification of proteins, peptides, mRNAs, or small molecules in blood or urine of animal models. Most studies aim at characterising the animal model by including the assessment of analytes or hormones affected in depressive patients. The ultimate objective is to validate the model to better understand the neurobiological basis of MDD. Stress hormones or inflammation-related analytes associated with MDD are frequently measured. In contrast, other investigators evaluate peripheral analytes in preclinical models to translate the results in clinical settings afterwards. Large-scale, hypothesis-free studies are performed in MDD models to identify candidate biomarkers. Other studies wish to propose new targets for drug discovery. Animal models endowed with predictive validity are investigated, and the assessment of peripheral analytes, such as stress hormones or immune molecules, is comprised to increase the confidence in the target. Finally, since the mechanism of action of antidepressants is incompletely understood, studies investigating molecular alterations associated with antidepressant treatment may include peripheral analyte levels. In conclusion, preclinical biomarker studies aid the identification of new candidate analytes to be tested in clinical trials. They also increase our understanding of MDD pathophysiology and help to identify new pharmacological targets.