Depression is a mental disorder that affects more than 300 million people worldwide. The medications available for treatment take a long time to exhibit therapeutic results and present several side effects. Furthermore, there is a decrease in the quality of life of people suffering from this affliction. Essential oils are traditionally used to relieve the symptoms of depression due to the properties of the constituents of these oils to cross the blood–brain barrier acting on depression-related biological receptors associated with reduced toxicity and side effects. In addition, compared to traditional drugs, they have several administration forms. This review provides a comprehensive assessment of studies on plants whose essential oil has exhibit antidepressant activity in the past decade and the mechanism of action of the major components and models tested. An additional in silico study was conducted with the frequent compounds in the composition of these essential oils, providing a molecular approach to the mechanism of action that has been reported in the past decade. This review is valuable for the development of potential antidepressant medications in addition to providing a molecular approach to the antidepressant mechanism of action of the major volatile compounds that have been reported in the past decade.