Depression persists as a major cause of disability worldwide, and it is frequently characterized by considerable side effects from traditional antidepressants, delayed therapeutic start, and limited treatment success. With their diverse modes of action that target oxidative stress, inflammation, neurogenesis, and neurotransmitter regulation—all key pathways linked to depressive disorders—marine-derived natural bioactives provide a new and potential therapy option for depression. Despite present issues with pharmacokinetics, bioavailability, and mechanistic comprehension, developments in drug delivery technologies and marine biotechnology are opening the door to more efficient use of these substances. The therapeutic potential of marine bioactives in reducing depression is examined in this review, which also highlights important bioactive classes, new research, and prospective avenues for clinical translation. The results of mental health care might be changed by creating safer, more effective, and more comprehensive substitutes for conventional antidepressants by incorporating marine-derived chemicals into individualized treatment plans.