Mood disorders are associated with significant psychosocial and occupational disability. It is estimated that major depressive disorder (MDD) will become the second leading cause of disability worldwide by 2020. Existing pharmacological and psychological treatments are limited for targeting cognitive dysfunctions in mood disorders. However, growing evidence from human and animal studies has shown that treatment with erythropoietin (EPO) can improve cognitive function. A recent study involving EPO-treated patients with mood disorders showed that the neural basis for their cognitive improvements appeared to involve an increase in hippocampal volume. Molecular mechanisms underlying hippocampal changes have been proposed, including the activation of anti-apoptotic, antioxidant, pro-survival and anti-inflammatory signalling pathways. The aim of this review is to describe the potential importance of glycogen synthase kinase 3-beta (GSK3β) as a multi-potent molecular mechanism of EPO-induced hippocampal volume change in mood disorder patients. We first examine published associations between EPO administration, mood disorders, cognition and hippocampal volume. We then highlight evidence suggesting that GSK3β influences hippocampal volume in MDD patients, and how this could assist with targeting more precise treatments particularly for cognitive deficits in patients with mood disorders. We conclude by suggesting how this developing area of research can be further advanced, such as using pharmacogenetic studies of EPO treatment in patients with mood disorders.