Recent literature connects 5-alpha reductase inhibitors (5-ARIs) with neuropsychiatric adverse effects. Several clinical studies have indicated that former 5-ARIs users had a higher incidence of depressive symptoms and neuropsychiatric side effects than non-users. However, the underlying mechanisms involved in the depression in former 5-ARIs patients, a condition known as “post finasteride syndrome (PFS)”, are not thoroughly understood. This review aims to summarize and discuss the association between 5-ARIs and depression as well as possible mechanisms. We used PubMed search terms including “depression”, “depressive symptoms”, “MDD”, “anxiety”, or “suicidal idea”, and “5-alpha reductase inhibitors”, “finasteride”, “dutasteride”, “5-ARIs”. All relevant articles from in vivo and clinical studies from 2002 to 2021 were carefully reviewed. Any contradictory findings were included and debated. The potential mechanisms that link 5-ARIs and depression include alteration in neuroactive steroids, dopaminergic dysfunction, reduced hippocampal neurogenesis, increased neuroinflammation, alteration of the HPA axis, and epigenetic modifications. From this review, we hope to provide information for future studies based on animal experiments, and potential therapeutic strategies for depressive patients with PFS. Display omitted •Depression in clinical data have significantly increased among 5-ARIs users.•The key mechanism of depression in 5-ARIs users is changes in neuroactive steroids.•5-ARIs usage can lead to dysfunction of the dopaminergic system.•Finasteride is an inhibitor of dopamine receptor 1-downstream signaling cascades.•Finasteride affects neurogenesis and neuroinflammation in animal model.