Major Depressive Disorder (MDD) is one of the most common psychiatric diagnoses, accompanied by several psychological, behavioural and emotional symptoms, and in addition to the symptoms affecting the quality of life, it can lead to severe consequences, including suicide. Sequence learning plays a key role in adapting to the environment, neural plasticity, first language acquisition, social learning and skills, at the same time it defines the behaviour of the patient and also therapeutic possibilities. The aim of this paper is to review sequence learning and its consolidation in MDD. We know little about the effects of mood disorders on sequence learning; the results are contradictory, therefore, further studies are needed to test the effects of MDD on sequence learning and on the consolidation of implicitly acquired sequence knowledge.