Repetitive transcranial magnetic stimulation (rTMS) and intermittent theta burst stimulation (iTBS) have been proven effective non-invasive treatments for patients with drug-resistant major depressive disorder (MDD). However, some depressed patients do not respond to these treatments. Therefore, the investigation of reliable and valid brain oscillations as potential indices for facilitating the precision of diagnosis and treatment protocols has become a critical issue. The current review focuses on brain oscillations that, mostly based on EEG power analysis and connectivity, distinguish between MDD and controls, responders and non-responders, and potential depression severity indices, prognostic indicators, and potential biomarkers for rTMS or iTBS treatment. The possible roles of each biomarker and the potential reasons for heterogeneous results are discussed, and the directions of future studies are proposed.