Transcutaneous vagus nerve stimulation (tVNS), a non-invasive method of brain stimulation through the auricular branch of the vagus nerve, has shown promising results in treating major depressive disorder (MDD) in several pilot studies. However, the neural mechanism by which the effect on depression might be achieved has not been fully investigated, with only a few neuroimaging studies demonstrating tVNS-induced changes in the brains of healthy volunteers. Identifying specific neural pathways, which are influenced by tVNS compared with sham in depressed individuals, as well as determining neurobiomarkers of tVNS treatment success are needed to advance the application of tVNS for MDD. In order to address these questions, we measured fMRI brain activity of thirty-eight depressed patients assigned to undergo tVNS ( = 17) or sham ( = 21) treatment for 4 weeks, during the first stimulation session. The results showed significant fMRI signal increases in the left anterior insula, revealed by a direct comparison of tVNS and sham stimulation. Importantly, the insula activation level during the first stimulation session in the tVNS group was significantly associated with the clinical improvement at the end of the four-week treatment, as indicated by the Hamilton Depression Rating Scale (HAM-D) score. Our findings suggest that anterior insula fMRI activity could serve as a potential cortical biomarker and an early predictor of tVNS longitudinal treatment success.