Depression, the most common mood disorder, is a leading contributor to the global burden of disease affecting more than 120 million individuals worldwide. Various pathophysiological processes underlie depression; this complexity renders it difficult to identify clinically useful diagnostic and prognostic markers, as well as treatment options. The current state of knowledge driving the management and treatment of depression remains incomplete, which underscores the need for further insight into pathways relevant to depression. Exploring co-morbid conditions, such as coronary artery disease, may be useful to further elucidate the etiopathology of depression. The present review therefore systematically identifies and critically evaluates relevant markers of depression as assessed in a high-risk population, namely patients with coronary artery disease. Biomarkers related to hypothalamicpituitary- adrenal axis dysregulation, inflammation, endothelial dysfunction, platelet activation and aggregation, serotonin activity, sympathetic nervous system activation, thyroid function, structural and morphological brain abnormalities, genetic variation, lipid metabolism, one-carbon metabolism, endocannabinoid signalling irregularities, and vitamin D deficiency are reviewed. Markers exhibiting the most consistent associations with depression include tumour necrosis factor-α, flow-mediated dilation, endothelin-1, endothelial progenitor cells, brain-derived neurotrophic factor, and docosahexaenoic acid. Further investigating the mechanisms underlying those markers and exploring novel pathways, such as oxidative stress, will extend the current state of knowledge and potentially lead to the identification of novel therapeutic targets.