Alzheimer disease (AD) is a devastating neurodegenerative disorder that affects millions of individuals worldwide, with no effective cure. The main symptoms include learning and memory loss, and the inability to carry out the simplest tasks, significantly affecting patients’ quality of life. Over the past few years, tremendous progress has been made in research demonstrating a link between AD and major depressive disorder (MDD). Evidence suggests that MDD is commonly associated with AD and that it can serve as a precipitating factor for this disease. Antidepressants such as selective serotonin reuptake inhibitors, which are the first line of treatment for MDD, have shown great promise in the treatment of depression in AD, although their effectiveness remains controversial. The goal of this review is to summarize current knowledge regarding the association between AD, MDD, and antidepressant treatment. It first provides an overview of the interaction between AD and MDD at the level of genes, brain regions, neurotransmitter systems, and neuroinflammatory markers. The review then presents current evidence regarding the effectiveness of various antidepressants for AD-related pathophysiology and then finally discusses current limitations, challenges, and future directions.