Subclinical hypothyroidism (SCH) is a mild impairment of thyroid function. Several existing studies suggest that SCH is associated with an increased risk of depression, but some studies have also found no correlation between SCH and depression. Therefore, whether there is an association between SCH and depression and the mechanism of interaction between the two remains controversial. Growing evidence suggested that SCH patients should not be routinely treated with levothyroxine, and the effect of the treatment of thyroid disease on various clinical psychiatric outcomes is also controversial. This article reviews the current research on the correlation between SCH and depression risk and whether drug intervention is needed.