Major depressive disorder (MDD) is associated with a significant burden and costs to the society. As remission of depressive symptoms is achieved in only one-third of the MDD patients after the first antidepressant trial, unsuccessful treatments contribute largely to the observed suffering and social costs of MDD. The present article provides a summary of the therapeutic strategies that have been tested for treatment-resistant depression (TRD). A computerized search on MedLine/PubMed database from 1975 to September 2014 was performed, using the keywords “treatment-resistant depression”, “major depressive disorder”, “adjunctive”, “refractory” and “augmentation”. From the 581 articles retrieved, two authors selected 79 papers. A manual searching further considered relevant articles of the reference lists. The evidence found supports that adding or switching to another antidepressant from a different class is an effective strategy in more severe MDD after failure to an initial antidepressant trial. Also, in subjects resistant to two or more classes of antidepressants, some augmentation strategies and antidepressant combinations should be considered, although the overall response and remission rates are relatively low, except for fast acting glutamatergic modulators. The wide range of available treatments for TRD reflects the complexity of MDD, which does not underlie diverse key features of the disorder. Larger and well-designed studies applying dimensional approaches to measure efficacy and effectiveness are warranted.