Dry eye disease is a chronic ocular surface disorder of multifactorial origin, characterized by a loss of tear film homeostasis and associated with a range of ocular discomfort symptoms. Growing evidence underscores a significant bidirectional relationship between dry eye and depression: individuals with dry eye disease exhibit a higher prevalence of depressive disorders, and conversely, those diagnosed with depression demonstrate an increased susceptibility to developing dry eye. This interplay is mediated through several pathophysiological pathways, such as chronic inflammation, cerebral functional alterations, gut microbiome dysregulation, and sleep disturbances, which may collectively sustain a vicious cycle. The use of antidepressant therapy introduces further complexity, exerting heterogeneous effects on dry eye—some agents may offer symptomatic relief, whereas others can aggravate ocular surface impairment. The mechanisms responsible for these differential outcomes remain incompletely elucidated and merit further investigation. This review systematically consolidates epidemiological data on the dry eye-depression link, examines potential shared pathological mechanisms, and evaluates current therapeutic options. We propose an integrated management approach that combines conventional dry eye treatments, such as traditional Chinese medicine, electroacupuncture, physical activity and antidepressants—a multimodal strategy that may yield synergistic benefits in alleviating both ocular and affective symptoms, thereby improving overall quality of life. Moving forward, research should focus on deciphering the underlying mechanistic pathways and facilitating the translation of these insights into clinical practice to inform targeted, combined treatment regimens for patients with dry eye and depression.