Depressive disorder in childhood and adolescence is a highly prevalent mood disorder that tends to recur throughout life. Untreated mood disorders can adversely impact a patient’s quality of life and cause socioeconomic loss. Thus, an accurate diagnosis and appropriate treatment is crucial. However, until now, diagnoses and treatments were conducted according to clinical symptoms. Objective and biological validation is lacking. This may result in a poor outcome for patients with depressive disorder. Research has been conducted to identify the biomarkers that are related to depressive disorder. Cumulative evidence has revealed that certain immunologic biomarkers including brain-derived neurotrophic factor (BDNF) and cytokines, gastrointestinal biomarkers, hormones, oxidative stress, and certain hypothalamus-pituitary axis biomarkers are associated with depressive disorder. This article reviews the biomarkers related to the diagnosis and treatment of pediatric depressive disorders. To date, clinical biomarker tests are not yet available for diagnosis or for the prediction of treatment prognosis. However, cytokines such as Interleukin-2, interferon-gamma, tumor necrosis factor-alpha, and BDNF have shown significant results in previous studies of pediatric depressive disorder. These biomarkers have the potential to be used for diagnosis, prognostic assessment, and group screening for those at high risk.