Abnormal hypothalamic-pituitary-adrenal (HPA) axis has been implicated in major depressive disorder (MDD). The aims of this meta-analysis were to determine the effect and safety profile of HPA-targeting medications for MDD. World of Science and PubMed databases were comprehensively searched up to March 2021. All randomized controlled trials (RCTs) and open-label trials exploring antiglucocorticoid and related medications in patients with depression were included. In the meta-analysis, we identified 16 RCTs and seven open-label studies that included 2972 subjects. Our study suggested that patients with MDD may benefit from mifepristone and V1B receptor antagonist treatments that have tolerable side effects. HPA-based medications are promising for depression treatment. However, additional high-quality RCTs, including head-to-head trials, are needed.