Major depressive disorder (MDD) is a severe psychiatric condition that significantly impacts the overall quality of life. Although MDD can occur across all age groups, it is notably prevalent among older individuals, with the aggravating circumstance that the clinical condition is frequently overlooked and undertreated. Furthermore, older adults often encounter resistance to standard treatments, experience adverse events, and face challenges associated with polypharmacy. Given that late-life MDD is associated with heightened rates of disability and mortality, as well as imposing a significant economic and logistical burden on healthcare systems, it becomes imperative to explore novel therapeutic approaches. These could serve as either supplements to standard guidelines or alternatives for non-responsive patients, potentially enhancing the management of geriatric MDD patients. This review aims to delve into the potential of microRNAs targeting Brain-Derived Neurotrophic Factor (BDNF). In MDD, a significant decrease in both central and peripheral BDNF has been well-documented, raising implications for therapy response. Notably, BDNF appears to be a key player in the intricate interplay between microRNA-induced neuroplasticity deficits and neuroinflammation, both processes deeply implicated in the onset and progression of the disease. Special emphasis is placed on delivery methods, with a comprehensive comparison of the strengths and weaknesses of each proposed approach. Our hypothesis proposes that employing multiple microRNAs concurrently, with the ability to directly influence BDNF and activate closely associated pathways, may represent the most promising strategy. Regarding vehicles, although the perfect nanoparticle remains elusive, considering the trade-offs, liposomes emerge as the most suitable option.