Although Parkinsons Disease (PD) is mostly considered a motor disorder, it can present at early stages as a non-motor pathology. Among the non-motor clinical manifestations, depression shows a high prevalence and can be one of the first clinical signs to appear, even a decade before the onset of motor symptoms. Here, we review the evidence of early dysfunction in neural circuitry associated with depression in the context of PD, focusing on pre-clinical, pre-motor and early motor phases of the disease. In the pre-clinical phase, structural and functional changes in the substantia nigra, basal ganglia and limbic structures are already observed. Some of these changes are linked to motor compensation mechanisms while others correspond to pathological processes common to PD and depression and thus could underlie the appearance of depressive symptoms during the pre-motor phase. Studies of the early motor phase (less than five years post diagnosis) reveal an association between the extent of damage in different monoaminergic systems and the appearance of emotional disorders. We propose that the limbic loop of the basal ganglia and the lateral habenula play key roles in the early genesis of depression in PD. Alterations in the neural circuitry linked with emotional control might be sensitive markers of the ongoing neurodegenerative process and thus may serve to facilitate an early diagnosis of this disease. To take advantage of this, we need to improve the clinical criteria and develop biomarkers to identify depression, which could be used to determine individuals at risk to develop PD.