Major depressive disorder (MDD) is considered a psychiatric disorder and have a relationship with stressful events. Although the common therapeutic approaches against MDD are diverse, a large number of patients do not present an adequate response to antidepressant treatments. On the other hand, effective non-pharmacological treatments for MDD and their tolerability are addressed. Several affective treatments for MDD are used but non-pharmacological strategies for decreasing the common depression-related drugs side effects have been focused recently. However, the potential of extracellular vesicles (EVs) derived from mesenchymal stem cells (MSCs), microRNAs (miRNAs) as cell-based therapeutic paradigms, besides other non-pharmacological strategies including mitochondrial transfer, plasma, transcranial direct current stimulation (tDCS), transcranial magnetic stimulation (TMS), and exercise therapy needs to further study. This review explores the therapeutic potential of cell-based therapeutic non-pharmacological paradigms for MDD treatment. In addition, plasma therapy, mitotherapy, and exercise therapy in several in vitro and in vivo conditions in experimental disease models along with tDCS and TMS will be discussed as novel non-pharmacological promising therapeutic approaches.