Associations between brain oscillations and depressive disorders have been studied for many years, leading to the development of prominent theories (e.g., the frontal EEG asymmetry). The brain, however, is a complex nonlinear system, and tools from the Nonlinear Dynamic Systems (NDS) theory are increasingly used to better understand its complex rhythms. This scientific review aimed at gathering relevant evidence on the use of nonlinear measures (those derived from the NDS) to identify biomarkers hidden under the brain oscillations of depressive patients. Thus, electroencephalographic (EEG) and magnetoencephalographic (MEG) studies which aimed either to compare depressives and healthy controls’ oscillations (diagnostic studies) or to examine the efficacy of interventions to ameliorate depressive symptomatology (intervention studies) on those oscillations were selected. As a result, 12 diagnostic studies and nine intervention studies were reviewed. Diagnostic studies essentially examined the brain oscillations in the broad frequency band and reported larger complexity or irregularity in depressives, as shown by the fractal dimension measures and informational measures.