Depression is a mental disorder characterized by mood disturbances that pose a significant threat to human mental and physical health. In recent years, the farnesoid X receptor (FXR) has been found to be expressed in brain regions such as the hippocampus and is closely related to the onset of depression. It can also affect the downstream target cAMP response element binding protein (CREB)-brain-derived neurotrophic factor (BDNF) signaling pathway, holding promise as a new target for the treatment of depression. This article analyzes how hippocampal FXR regulates the CREB-BDNF signaling pathway and summarizes the latest research progress related to the pathogenesis of depression, with the aim of providing precise targeted ideas for the drug development and clinical treatment of depression.