As an agonist of peroxisome proliferator-activated receptor γ (PPARγ), pioglitazone may be involved in the regulation of glycolipid metabolism, oxidative stress and immune inflammatory response, thereby improving depression. Studies find that pioglitazone is effective in treating depression, especially in patients with resistance and comorbid metabolic syndrome, and is expected to be a new treatment for depression. This article reviews the research progress of pioglitazone in clinical application and related mechanisms of depression, into provide theoretical basis and support for subsequent research.