Recent evidence from the studies evaluating the association between brain-derived neurotrophic factor (BDNF) concentration/levels, BDNF Val66Met (rs6265) polymorphism, and major depressive disorders, referred as depression, and the association between BDNF levels and/or BDNF Val66Met with the treatment response in depression is presented. This mini review focuses on the changes in the peripheral BDNF levels in blood (serum, plasma, platelets) in patients with depression before or after treatment with antidepressant drugs or different therapeutic strategies. In addition, this review describes the recent data on the possible association between different antidepressants/therapeutic strategies and the particular BDNF Val66Met genotypes, evaluating the risk alleles associated with the response in patients with depression. BDNF has an important role in the pathophysiology and treatment response in depression. Most data reveal that peripheral BDNF levels are lower before than after antidepressant treatment and might be used as potential biomarkers of therapeutic response. Novel therapeutic strategies should target restoring/increasing BDNF levels.