The failure of emotional processing in patients with depression is one of the main factors leading to depression. The mechanism of emotional processing failure can be explained by three models of emotional processing theory. The three models are depression cognitive model, situational sensitivity retardation model and cognitive control impaired model. A large number of behavioral, electrophysiological and brain imaging studies have proved the explanation of these three models for depression from various aspects. And based on this perspective, attention bias correction, cognitive behavioral therapy and drug herapy are provided to intervene and treat depression. At present, there are some problems to be solved in this field, such as unclear relationship between models, unclear relationship between negative enhancement effects of various cognitive links, uncle ar pathogenesis of depression and so on, which can be the research direction of future researchers.