Caffeine is considered the world's most popular psychoactive substance. Its actions on the central nervous system, mainly mediated by antagonism of adenosine receptors and subsequent modulation of dopaminergic activity, would be particularly sought by depressed patients, as an attempt of self-medication. However, published data suggested that coffee consumption may worsen psychopathological conditions in mood disorders. Thus, we reviewed available evidence in the literature that investigated the effects of coffee consumption on clinical development of underlying psychopathology. Literature research was done by typing on Medline/PubMed and PsychINFO the key words "coffee AND major depression", "coffee AND dysthymia". The research was limited to English language publications and to studies conducted exclusively on humans. Although literature data are conflicting, extensive follow-up studies indicate a significant caffeine effect on risk reduction of developing clinical depression symptoms. Clinical worsening was observed mainly in cases of postpartum depression and comorbid panic disorder. Taking in account the study limitations, we observed a biphasic profile in caffeine psychostimulant effect: low to moderate doses may correlate with a reduction in depressive risk in healthy subjects and an improvement of many clinical symptoms (attention, arousal, psychomotor performance) in depressed patients, whereas the assumption of high doses may result in thymic dysregulation, favor mixed affective states and worsen circadian profiles and anxiety symptoms.