Depression is associated with severe deficits of social function. Depressive symptoms are related to negative expectancy bias, social anhedonia, high sensitivity to, as well as impaired emotion regulation of social exclusion and social rejection. This review focuses on social feedback, one of the most important social information, in individuals with depression (including clinical depression and subclinical depression). We aim to investigate the anticipation, experience and emotion regulation processes of social feedback in individuals with depression. There are a number of paradigms measuring different aspects (anticipation, experience, or both) of social feedback processing. The most frequently used tasks are “cyberball” task, “social judgment” task, “chatroom” task, “social feedback” task, and “social incentive delay” task. Besides, other tasks are also commonly seen and used, such as social evaluative task, “character trait” task, “island getaway” task, and “the montreal imaging stress” task. Firstly, researchers already have a deep understanding about the experiencing deficits of social feedback in individuals with depression. It is found that similar to nonsocial rewards (food or money), individuals with depression also showed anhedonia to social rewards, i.e., positive social feedback, which may mainly due to hypoactivation of the nucleus accumbens (NAcc) and hyperactivation of the medial prefrontal cortex (mPFC). In contrast, individuals with depression exhibited abnormally increased sensitivity to negative social feedback (social exclusion and social rejection), which is related to the overactivity of sgACC. Secondly, researchers are less concerned about the anticipation of social feedback in depression. However, the altered anticipatory processing is supported by some behavioral and neuroimaging findings. Specifically, individuals with depression showed impaired reward circuit (especially ventral striatum) when anticipating monetary reward. In some behavioral findings, individuals with depression reported more negative expectation and less positive expectation about social interaction, which may suggest the dysfunction of this reward circuit in depression when anticipating social feedback. Thirdly, although we found no direct evidence supporting the regulation of emotions evoked by social feedback in individuals with depression; they did showed deficits in regulating basic emotions (happy and sad). In studies on healthy individuals, rVLPFC seemed to be the crucial area of regulating social feedback, which may provide some valuable clues to studies on depression. The framework of this review is largely consistent with the “negative cognitive traid” in the unified model of depression. The unsolved problems in this research area are as follows: 1) The specificity of social feedback processing deficits in depression needs to be defined, because it is not clear that individuals with depression show the same or different deficits in processing social versus non-social feedback; 2) Causality between the observed brain dysfunction and the given behavioral deficits in social feedback processing in depression still puzzles us. However, some work may enlighten us. Using the non-invasive neurostimulation tools, such as rTMS, to excitatorily or inhibitorily stimulate the target brain area, researchers can then measure and compare behavioral and neuroimaging indexes between the real and the sham group and thus clarify this casual issue. 3) We cannot rule out the possibility that patients with clinical depression and individuals with subclinical depression have the different mode of social feedback processing deficits.