Depression is a disorder that affects one's mood, disturbs one's thinking, behavior, and one's normal functioning. The aim of the present study was to review the literature about the cognitive and axiological model of depressive disorders, underscoring their importance to promoting mental health promotion and empowering individuals’ resilience in our society. Material and Method: A literature review was conducted on both Greek and English languages, through Pubmed, Scopus, Science Direct and Google Scholar databases, using the key-words: "mental health promotion", "conceptions", "cognitive triad", "depression". Results: The cognitive "profile" of depression includes negative cognitive triad which involves automatic, spontaneous and seemingly uncontrollable negative thoughts about the self, the world and the future. In the axiological model for depressive disorders, the evaluation of life events is based on particular dysfunctional preconceptions, conceptions and metaconceptions which are related to the negative assessment of the “self”, the “world” and the “future” respectively, according to the negative cognitive triad. The axiological model of Mental Health Promotion aims to modify dysfunctional conceptions used by individuals to assess daily stimuli and regulate their behavior in response to external stimuli, through appropriate training, and replace them with more functional ones in order to improve their resilience to stressful life events. Conclusions: The development of individuals’ positive assessment skills related to self (identity), world (adaptation) and future (creativity) facilitates the achievement of their personal goals in order to promote their mental and physical health and improve the quality of their lives.