Depression is not similar to daily mood fluctuations and temporary emotional responses to day-to-day activities. Depression is not a passing problem; it is an ongoing problem. It deals with different episodes consisting of several symptoms that last for at least 2 weeks. It can be seen for several weeks, months, or years. At its final stage, or can say, in its worst condition, it can lead to suicide. Antidepressants are used to inhibit the reuptake of the neurotransmitters by some selective receptors, which increase the concentration of specific neurotransmitters around the nerves in the brain. Drugs that are currently being used for the management of various types of depression include selective serotonin reuptake inhibitors, tricyclic antidepressants, atypical antidepressants, serotonin, noradrenaline reuptake inhibitors, etc. In this review, we have outlined different symptoms, causes, and recent advancements in nitrogen-containing heterocyclic drug candidates for the management of depression. This article highlights the various structural features along with the structure-activity relationship (SAR) of nitrogen-containing heterocyclics that play a key role in binding at target sites for potential antidepressant action. The in silico studies were carried out to determine the binding interactions of the target ligands with the receptor site to determine the potential role of substitution patterns at core pharmacophoric features. This article will help medicinal chemists, biochemists, and other interested researchers in identifying the potential pharmacophores as lead compounds for further development of new potent antidepressants.