As one of the most important elements in our body, zinc plays a part in both the pathophysiology of depression and the antidepressant response. Patients suffering from major depression show significantly reduced zinc levels, which are normalized following successful antidepressant treatment. Recent studies have shown the interaction between zinc, GPR39 and neuropeptides, including galanin and neuropeptide Y (NPY). The zinc-sensing receptor GPR39 forms heterotrimers with 5-HT1A and the galanin receptor GalR1 upon their co-expression in mammalian cells. The oligomerization of these heterotrimers is regulated by the zinc concentration, and this may have an influence on depressive-like behavior. The antidepressant-like effect of zinc is linked to elevated levels of brain-derived neurotrophic factor (BDNF) in brain structures associated with emotion, such as the hippocampus and the amygdala. BDNF regulates neuropeptides, including NPY, cholecystokinin (CCK), and substance P or galanin, which are also implicated in mood disorders. This review focuses for the first time on the interaction between zinc, the GPR39 zinc receptor, BDNF and selected neuropeptides in terms of depression in order to determine its possible role in the neuropharmacology of that illness.