Depression is a common mental disorder that causes significant suffering and burden to patients and their families. In recent years, the emergence of Brain-Computer Interface (BCI) technology has provided a non-invasive intervention for depression patients. Non-invasive BCI neurofeedback training involves real-time monitoring of brain activity during training and providing feedback to patients, enabling them to learn to self-regulate their brain activity. This review explores the current clinical applications of non-invasive BCI neurofeedback training in the treatment of depression and analyzes its potential mechanisms, including neurotransmitter regulation, brain region functional remodeling, and enhancement of neuroplasticity. In addition, the article also discusses the limitations of the current clinical applications of non-invasive BCI neurofeedback training, aiming to enhance its potential in the treatment of depression.