Depression is a common mental illness, affecting more than 300 million people worldwide. Decades of investigation have yielded symptomatic therapies for this disabling condition but have not led to a consensus about its pathogenesis. There are data to support several different theories of causation, including the monoamine hypothesis, hypothalamic–pituitary–adrenal axis changes, inflammation and immune system alterations, abnormalities of neurogenesis and a conducive environmental milieu. Research in these areas and others has greatly advanced the current understanding of depression; however, there are other, less widely known theories of pathogenesis. Oligodendrocyte lineage cells, including oligodendrocyte progenitor cells and mature oligodendrocytes, have numerous important functions, which include forming myelin sheaths that enwrap central nervous system axons, supporting axons metabolically, and mediating certain forms of neuroplasticity. These specialized glial cells have been implicated in psychiatric disorders such as depression. In this review, we summarize recent findings that shed light on how oligodendrocyte lineage cells might participate in the pathogenesis of depression, and we discuss new approaches for targeting these cells as a novel strategy to treat depression.