Depressive disorder is a mental illness characterized by poor mood and cognitive dysfunction caused by a range of complicated factors. Antidepressants have strong short-term efficacy in clinical application, yet with significant adverse effects and resistance in long-term use. Essential oils are small molecular compounds mainly composed of monoterpenes and sesquiterpenes, most of which are characterized by aromatic odors, easy permeability through the blood-brain barrier, and low toxic side effects. Volatile oil from traditional Chinese medicine can regulate neurotransmitter monoamine, hypothalamic-pituitary-adrenal axis, brain-derived neurotrophic factor, neuroinflammation and oxidative stress, and intestinal microbiota-gut-brain axis to exert an antidepressant effect through multiple pathways and targets. This review summarizes the main antidepressant chemical components of essential oil of traditional Chinese medicine, their pharmacological mechanisms and clinical application, aiming to provide some reference for further development and clinical application of essential oil of traditional Chinese medicine.