Patients with major depressive disorder (MDD) exhibit an abnormal physiological arousal pattern known as hyperarousal, which may contribute to their depressive symptoms. However, the neurobiological mechanisms linking this abnormal arousal to depressive symptoms are not yet fully understood. In this review, we summarize the physiological and neural features of arousal, and review the literature indicating abnormal arousal in depressed patients. Evidence suggests that a hyperarousal state in depression is characterized by abnormalities in sleep behavior, physiological (e.g., heart rate, skin conductance, pupil diameter) and electroencephalography (EEG) features, and altered activity in subcortical (e.g., hypothalamus and locus coeruleus) and cortical regions. While recent studies highlight the importance of subcortical-cortical interactions in arousal, few have explored the relationship between subcortical-cortical interactions and hyperarousal in depressed patients. This gap limits our understanding of the neural mechanism through which hyperarousal affects depressive symptoms, which involves various cognitive processes and the cerebral cortex. Based on the current literature, we propose that the hyperconnectivity in the thalamocortical circuit may contribute to both the hyperarousal pattern and depressive symptoms. Future research should investigate the relationship between thalamocortical connections and abnormal arousal in depression, and explore its implications for non-invasive treatments for depression.