Chronic stress often results in neurochemical changes in the central nervous system and may lead to the onset of depression. These neurochemical changes refer to alterations of activities of neurotransmitters, neuromediators, hormones and neuronal plasticity, etc. The underlying mechanism of acupuncture in the antidepressant effect is related to its regulatory effect on the neurochemical imbalance. In the present review, the authors summarize the progress of experimental researches on acupuncture treatment of depression from (1) monoamines neurotransmitters and their receptors, (2) gamma-aminobutyric acid and glutamate, (3) neuropeptide Y, (4) hypothalamus-pituitary-adrenal axis and hypothalamus-pituitary-throid axis activities, and (5) brain-derived neurotrophic factor. In addition, the authors also make an evaluation on the insufficiency of current studies and put forwards some suggestions on the future study.