Depressive disorder, as a common mental health condition, imposes a significant burden on both patients and society. However, its early diagnosis and precise treatment remain challenging, highlighting the urgent need for objective and reproducible neural biomarkers. In recent years, event-related potentials (ERPs), as a neurophysiological tool characterized by high temporal resolution, cost-effectiveness, and non-invasiveness, have opened new avenues for the diagnosis and treatment of depressive disorders. The article reviews the latest advances in the research of various ERP components in depressive disorders, with a particular focus on their potential applications and current challenges in the diagnosis, differential diagnosis, and treatment outcome evaluation of depressive disorders. The aim is to provide insights and references for future research and application of ERPs as neurobiological markers in the diagnosis and therapeutic evaluation of depressive disorders.