Statins are commonly prescribed medications widely investigated for their potential actions on the brain and mental health. Pre-clinical and clinical evidence suggests that statins may play a role in the treatment of depressive disorders, but only the latter has been systematically assessed. Thus, the physiopathological mechanisms underlying statins’ putative antidepressant or depressogenic effects have not been established. This review aims to gather available evidence from mechanistic studies to strengthen the pharmacological basis for repurposing statins in depression. We used a broad, well-validated search strategy over three major databases (Pubmed/MEDLINE, Embase, PsychINFO) to retrieve any mechanistic study investigating statins’ effects on depression. The systematic search yielded 8068 records, which were narrowed down to 77 relevant papers. The selected studies (some dealing with more than one bodily system) described several neuropsychopharmacological (44 studies), endocrine-metabolic (17 studies), cardiovascular (6 studies) and immunological (15 studies) mechanisms potentially contributing to the effects of statins on mood. Numerous articles highlighted the beneficial effect of statins on depression, particularly through positive actions on serotonergic neurotransmission, neurogenesis and neuroplasticity, hypothalamic-pituitary axis regulation and modulation of inflammation. The role of other mechanisms, especially the association between statins, lipid metabolism and worsening of depressive symptoms, appears more controversial. Overall, most mechanistic evidence supports an antidepressant activity for statins, likely mediated by a variety of intertwined processes involving several bodily systems. Further research in this area can benefit from measuring relevant biomarkers to inform the selection of patients most likely to respond to statins’ antidepressant effects while also improving our understanding of the physiopathological basis of depression.