Major depressive disorder remains a leading cause of global disability, with a substantial fraction of patients exhibiting inadequate response to conventional pharmacological and psychotherapeutic treatments. Vagus nerve stimulation has emerged as an effective neuromodulation strategy for treatment-resistant depression, yet implantable systems are limited by surgical risk, cost, and restricted scalability. Recent advances in non-invasive, wearable vagus nerve stimulation technologies, particularly transcutaneous auricular and cervical approaches, offer a promising pathway toward accessible, home-based neuromodulation. This Review synthesizes the anatomical and physiological rationale underlying wearable non-invasive VNS and critically evaluates mechanistic evidence spanning monoaminergic modulation, neuroplasticity, neuroimmune regulation, autonomic control, and large-scale brain network reorganization. We further summarize clinical findings from implantable and non-invasive trials and discuss key engineering considerations, including electrode-skin interfaces, stimulation parameters, wearability, and safety. Finally, we highlight major challenges and future opportunities, emphasizing the integration of flexible bioelectronics, multimodal sensing, and Artificial Intelligence-driven closed-loop control to enable personalized, scalable neuromodulation for depression.