Major depressive disorder is the leading cause of disability worldwide. Currently available pharmacological approaches to the treatment of depression (which are the mainstay of treatment in the United States) suffer from important shortcomings, including limited efficacy, delayed onset of action, increased relapse risk upon withdrawal, and significant side effects that impair quality of life and promote treatment nonadherence and/or discontinuation. There is an emerging interest in the potential use of evolutionarily conserved interoceptive pathways (i.e., pathways that relay sensory information, related to the internal, physiologic state of the body, from the periphery to the central nervous system) as "gateways" to neural systems controlling affective and cognitive function relevant to the pathophysiology of depression. In support of the potential utility of this approach, we have shown in open and randomized, double-blind, sham-controlled trials that infrared whole-body heating has significant and long-lasting antidepressant effects relative to a sham condition. In this review, we explore the potential role of thermosensory pathways in the etiology, pathophysiology, and symptomatology of major depressive disorder, as well as its potential as a novel therapeutic approach to the treatment of major depressive disorder.