Depression has become a major threat to human health, and researchers around the world are actively engaged in research on depression. In order to promote closer research, the study of the global depression knowledge map is significant. This study aims to map the knowledge map of depression research and show the current research distribution, hotspots, frontiers, and trends in the field of depression research, providing researchers with worthwhile information and ideas. Based on the Web of Science core collection of depression research from 2004 to 2019, this study systematically analyzed the country, journal, category, author, institution, cited article, and keyword aspects using bibliometric and data visualization methods. A relationship network of depression research was established, highlighting the highly influential countries, journals, categories, authors, institutions, cited articles, and keywords in this research field. The study identifies great research potential in the field of depression, provides scientific guidance for researchers to find potential collaborations through collaboration networks and coexistence networks, and systematically and accurately presents the hotspots, frontiers, and shortcomings of depression research through the knowledge map of global research on depression with the help of information analysis and fusion methods, which provides valuable information for researchers and institutions to determine meaningful research directions.