Depressive disorders often occur in patients with cardiovascular pathologies and are a predictor of the development of thrombotic events, such as myocardial infarction, acute ischemic cerebrovascular accident, and pulmonary embolism. These are believed to be caused by the structural and biochemical relationship between platelets and brain neurons, which allows us to consider platelets as a marker of central nervous system (CNS) pathologies. This review aimed to assess the relationship between the hemostasis system and the development of depressive disorders using platelets as a “peripheral model” of neurons and evaluate the effectiveness of drugs for the treatment of depression. The study was conducted in accordance with the recommendations of Preferred Reporting Items for Systematic Reviews and Meta-Analyses. A systematic literature search was conducted using PubMed, Cochrane, and CINAHL databases from 2018 to 2023, according to the following keywords: “hemostasis,” “acute cerebrovascular accident,” “depression,” “depressive disorders,” “platelets,” “cardiovascular diseases.” The data obtained indicate both a clinical link between depressive disorders and vascular events and the commonality of platelets and CNS cells because of the commonality of the following proteins: transporters and receptors of serotonin or 5-hydroxytryptamine, amyloid precursor protein, and brain neurotrophic factor, which were previously considered specific neural proteins. In addition, a relationship exists between hemostasis dynamics and drug therapy for depression. In this review, changes in hemostasis in terms of platelet activation in patients with depression and vascular disease were critically analyzed. The literature presents diverse mechanisms of platelet induction, which require further study. A rational study of the pathways of platelet activation in patients with depressive disorders will provide a comprehensive understanding of the molecular mechanisms underlying the relationship between hemostasis and depression in various vascular pathologies. Platelet activation in patients with depression and the dynamics of changes in hemostasis parameters during the treatment of depressive disorders allow us to consider hemostasis as a peripheral marker of the CNS and pharmacotherapy.