Research on major depression has confirmed that it is caused by an array of biopsychosocial and lifestyle factors. Diet, exercise and sleep are three such influences that play a significant mediating role in the development, progression and treatment of this condition. This review summarises animal- and human-based studies on the relationship between these three lifestyle factors and major depressive disorder, and their influence on dysregulated pathways associated with depression: namely neurotransmitter processes, immuno-inflammatory pathways, hypothalamic–pituitary–adrenal (HPA) axis disturbances, oxidative stress and antioxidant defence systems, neuroprogression, and mitochondrial disturbances. Increased attention in future clinical studies on the influence of diet, sleep and exercise on major depressive disorder and investigations of their effect on physiological processes will help to expand our understanding and treatment of major depressive disorder. Mental health interventions, taking into account the bidirectional relationship between these lifestyle factors and major depression are also likely to enhance the efficacy of interventions associated with this disorder.