Depression has a high impact on mental health. However its diagnosis is a challenge even for specialists. This problem derives from a failure in an adequate description and differentiation of the disease. This inadequate conceptualization generates these difficulties. Our thesis is that depression should be understood as a complex phenomenon that can be analyzed from multiple perspectives, from genes to behavior, including personality and interaction with the sociocultural environment. The aim of this paper is to review the psychopathological construct of depression from a multidimensional point of view, considering clinical, sociocultural, characterological and pathogenic variables. Finally we provide a proposal for an adequate diagnostic approach.