BACKGROUND: In this modern era, depression is one of the most prevalent mental disorder from which millions of individuals are affected today. The symptoms of depression are heterogeneous and often coincide with other disorders such as bipolar disorder, Parkinson's, schizophrenia, etc. It is a serious mental illness that may lead to other health problems if left untreated. Currently, identifying individuals with depression is totally based on the expertise of the clinician's experience. In order to assist clinicians in identifying the characteristics and classifying depressed people, different types of data modalities and machine learning techniques have been incorporated by researchers in this field. This study aims to find the answers of some important questions related to the trend of publications, data modality, machine learning models, dataset usage, pre-processing techniques and feature extraction and selection techniques that are prevalent and guide the direction of future research on depression diagnosis. METHODS: This systematic review was conducted using a broad range of articles from two major databases: IEEE Xplore and PubMed. Studies ranging from the years 2011 to April 2021 were retrieved from the databases resulting in a total of 590 articles (53 articles from IEEE Xplore database and 537 articles from PubMed database). Out of those, the articles which satisfied the defined inclusion criteria were investigated for further analysis. RESULTS: A total of 135 articles were identified and analysed for this review. A high growth in the number of publications has been observed in recent years. Furthermore, a significant diversity in the use of data modalities and machine learning classifiers has also been noted in this study. fMRI data with SVM classifier was found to be the most popular choice among researchers. In most of the studies, data scarcity and small sample size, particularly for neuroimaging data are major concerns. The use of identical data pre-processing tools for similar data modality can be seen. This study also provides statistical analysis of the current framework with respect to the modality, machine learning classifier, sample size and accuracy by applying one-way ANOVA and the Tukey - Kramer test. CONCLUSION: The results indicate that an effective fusion of machine learning techniques with a potential data modality has a promising future for assisting clinicians in automatic depression diagnosis.