Major depressive disorder (MDD) is an affective disorder that is harmful to both physical and mental health. Abnormal self-knowledge, which refers to abnormal judgments about oneself, is a core symptom of depression. However, little research has summarized how and why patients with MDD differ from healthy individuals in terms of self-knowledge. To gain a better understanding of MDD, we reviewed previous studies that focused on the behavioral and neurological changes of self-knowledge in this illness. On the behavioral level, depressed individuals exhibited negative self-knowledge in an explicit way, while more heterogeneous patterns were reported in implicit results. On the neurological level, depressed individuals, as compared with non-depressed controls, showed abnormal self-referential processing in both early perception and higher cognitive processing phases during the Self-Referential Encoding Task. Furthermore, fMRI studies have reported aberrant activity in the medial prefrontal cortex area for negative self-related items in depression. These results revealed several behavioral features and brain mechanisms underlying abnormal self-knowledge in depression. The neural mechanism of implicit self-knowledge in MDD remains unclear. Future research should examine the importance of others' attitudes on the self-concept of individuals with MDD, and whether abnormal self-views may be modified through cognitive or pharmacological approaches. In addition, differences in abnormal self-knowledge due to genetic variation between depressed and non-depressed populations remain unconfirmed. Importantly, it remains unknown whether abnormal self-knowledge could be used as a specific marker to distinguish healthy individuals from those with MDD. This review extends our understanding of the relationship between self-knowledge and depression by indicating several abnormalities among individuals with MDD and those who are at risk for this illness.