The efficacy of acupuncture and moxibustion in the treatment of depression has been fully recognized internationally. However, its central mechanism is still not developed into a unified standard, and it is generally believed that the central mechanism is regulation of the cortical striatum thalamic neural pathway of the limbic system. In recent years, some scholars have applied functional magnetic resonance imaging (fMRI) to study the central mechanism and the associated brain effects of acupuncture and moxibustion treatment for depression. This study reviews the acupuncture and moxibustion treatment of depression from two aspects: (1) fMRI study of the brain function related to the acupuncture treatment of depression: different acupuncture and moxibustion methods are summarized, the fMRI technique is elaborately explained, and the results of fMRI study of the effects of acupuncture are analyzed in detail, and (2) fMRI associated “brain functional network” effects of acupuncture and moxibustion on depression, including the effects on the hippocampus, the amygdala, the cingulate gyrus, the frontal lobe, the temporal lobe, and other brain regions. The study of the effects of acupuncture on brain imaging is not adequately developed and still needs further improvement and development. The brain function networks associated with the acupuncture treatment of depression have not yet been adequately developed to provide a scientific and standardized mechanism of the effects of acupuncture. For this purpose, this study analyzes in-depth the clinical studies on the treatment of anxiety and depression by acupuncture and moxibustion, by depicting how the employment of fMRI technology provides significant imaging changes in the brain regions. Therefore, the study also provides a reference for future clinical research on the treatment of anxiety and depression.