•The role of adipose tissue in the manifestation of MDD has been proposed.•The current study explored and quantified the relationship between different adipokines (i.e., leptin and adiponectin) and MDD.•For exploring the mechanistic role of leptin and adiponectin in the pathological process of MDD, sex-related differences also were taken into consideration. To explore differences in adipokine levels (i.e., leptin and adiponectin levels) between adults with Major Depressive Disorder (MDD) and healthy controls (HC), and to discuss the possible role of adipokine regulation in the development and progression of MDD. A systematic review and meta-analysis were conducted based on the preferred reporting items for systematic reviews and meta-analyses (PRISMA) guidelines. A systematic search was conducted for all English and Chinese peer-reviewed articles from inception to November 2017. A random effects model was used to calculate the standardized mean difference (SMD) of leptin and/or adiponectin levels in subjects diagnosed with MDD versus HC within a 95% confidence interval (CI). Thirty-three studies were included in this meta-analysis. In total, 4,372 (52.3%) subjects with MDD and 3,984 (47.7%) HC were compared. We identified significant lower adiponectin levels in MDD compared to HC with a small effect size (ES) (SMD = −0.25; 95% CI: −0.48, −0.02; P < 0.001). However, no significant difference was observed in leptin levels between MDD subjects and HC (SMD = 0.13; 95% CI: −0.06, 0.31; P = 0.170). The heterogeneity in the results of our meta-analysis could not be completely explained by dividing subjects into subgroups. Results from subgroup analyses suggested that studies involving samples with BMI ≥ 25 had lower adiponectin levels in subjects with MDD compared to HC, and older age samples (i.e., age ≥ 40) with BMI ≥ 25 had both higher leptin levels and lower adiponectin levels in MDD subjects as compared to HC. The heterogeneity of included studies, small sample sizes, and potential publication bias were significant limitations. The current systematic review and meta-analysis indicated that lower adiponectin levels may be associated with MDD. Moreover, the results suggest that males expressing lower adiponectin and leptin levels have an increased likelihood of developing MDD. Future studies should aim to investigate the manifestation of depressive phenotypes in older, obese populations with altered metabolic profiles resulting from adipokine dysregulation. The review has been registered with PROSPERO (registration number CRD42018082733).