Predictive coding models of brain processing propose that top-down cortical signals promote efficient neural signaling by carrying predictions about incoming sensory information. These “priors” serve to constrain bottom-up signal propagation where prediction errors are carried via feedforward mechanisms. Depression, traditionally viewed as a disorder characterized by negative cognitive biases, is associated with disrupted reward prediction error encoding and signaling. Accumulating evidence also suggests that depression is characterized by impaired local and long-range prediction signaling across multiple sensory domains. This review highlights (...) the electrophysiological and neuroimaging evidence for disrupted predictive processing in depression. The discussion is framed around the manner in which disrupted generative predictions about the sensorium could lead to depressive symptomatology, including anhedonia and negative bias. In particular, the review focuses on studies of sensory deviance detection and reward processing, highlighting research evidence for both disrupted generative predictions and prediction error signaling in depression. The role of the monoaminergic and glutamatergic systems in predictive coding processes is also discussed. This review provides a novel framework for understanding depression using predictive coding principles and establishes a foundational roadmap for potential future research. (shrink)