Depression, or major depressive disorder, is a common mental disorder that affects individuals’ behavior, mood, and physical health, and its prevalence has increased during the lockdowns implemented to curb the COVID-19 pandemic. There is an urgent need to update the treatment recommendations for mental disorders during such crises. Conventional interventions to treat depression include long-term pharmacotherapy and cognitive behavioral therapy. Electroencephalogram-neurofeedback (EEG-NF) training has been suggested as a non-invasive option to treat depression with minimal side effects. In this systematic review, we summarize the recent literature on EEG-NF training for treating depression. The 12 studies included in our final sample reported that despite several issues related to EEG-NF practices, patients with depression showed significant cognitive, clinical, and neural improvements following EEG-NF training. Given its low cost and the low risk of side effects due to its non-invasive nature, we suggest that EEG-NF is worth exploring as an augmented tool for patients who already receive standard medications but remain symptomatic, and that EEG-NF training may be an effective intervention tool that can be utilized as a supplementary treatment for depression. We conclude by providing some suggestions related to experimental designs and standards to improve current EEG-NF training practices for treating depression