•First systematic review including studies employing EEG and fMRI-based protocols.•Data from 24 studies (480 patients in experimental and 194 in the control groups).•Most studies showing symptom improvement superior to the control group(s).•Positive linear trends showing improved study quality across years. Major depressive disorder (MDD) is the leading cause of disability worldwide. Neurofeedback training has been suggested as a potential additional treatment option for MDD patients not reaching remission from standard care (i.e., psychopharmacology and psychotherapy). Here we systematically reviewed neurofeedback studies employing electroencephalography, or functional magnetic resonance-based protocols in depressive patients. Of 585 initially screened studies, 24 were included in our final sample (N = 480 patients in experimental and N = 194 in the control groups completing the primary endpoint). We evaluated the clinical efficacy across studies and attempted to group studies according to the control condition categories currently used in the field that affect clinical outcomes in group comparisons. In most studies, MDD patients showed symptom improvement superior to the control group(s). However, most articles did not comply with the most stringent study quality and reporting practices. We conclude with recommendations on best practices for experimental designs and reporting standards for neurofeedback training.