Regardless of a large amount of literature, whether empathy closely relates to depression is far from conclusive. The present study collected previous evidence and performed a meta-analysis to investigate the correlation between empathy and depression. By searching databases, 21 studies and 48 effect sizes were collected. Results showed that empathy was not correlated to depression (r = .006, p = .87). However, subgroup analyses showed that while the relationship between affective empathy and depression was significantly positively correlated (r = .108, p < .01), cognitive empathy was not (r = -.03, p = .26). Additionally, the relationship between empathy and depression varied during development, with a positive correlation in adolescence (r = .084, p < .01) and negative correlation in older adults (r = -.191, p < .001). Results implied that affective empathy might be one of the risk factors for depression, and higher affective empathy might mean more vulnerability to depression. Further studies would help by examining when and how this relationship builds, as well as the contributing factors of its development.