Cholesterol plays an integral role in the structure and function of the cell membrane and may also affect neurotransmission in the central nervous system. Previous work has identified abnormalities in serum cholesterol levels in patients with mood and anxiety disorders as well as in suicidal patients. However, the biological significance of these abnormalities remains to be clarified. An understanding of how serum cholesterol relates to the pathophysiology of mood disorders may generate biological markers that predict treatment response as well as targets for novel therapeutic strategies. In this article, we review the literature studying the significance of cholesterol in mood and anxiety disorders, with an emphasis on new studies focusing on the adverse impact of hypercholesterolemia on the treatment of major depressive disorder (MDD). We then propose possible mechanisms that would account for the relationship between elevated cholesterol and treatment non-response in MDD.