Major depression is one of the most disabling disorders, yet the pathogenesis of this mental disorder is poorly understood. The techniques of proteomics provide us with powerful tools, while the animal models of depression enable research that cannot be performed on humans due to practical difficulties or ethical reasons. In this review, we summarize the characteristics of some most commonly applied rat models of depression, and explore what could be done with novel proteomic approaches to offer an insight to the pathogenesis of major depression, biomarker establishment and drug development.