Major depression is a serious problem of today’s society affecting approximately 14.8 million American adults, or about 6.7 percent of the U.S. population age 18 and older in a given year. In the last decades neuroscientists have focused their efforts to understand depression and find adequate antidepressant treatments. Despite antidepressant drug treatment patients continue to experience low remission rates and some patients are treatment-resistant. Furthermore, current antidepressant drugs display a slow onset of action and clinical benefits are evident only after several weeks of treatment. Most of the marketed antidepressant drugs target the brain monoaminergic systems, i.e., serotonin (5-HT), noradrenaline (NA) and dopamine (DA) sharing common mechanisms of action. Thus, new therapeutic approaches are needed. The purpose of the following manuscript is to take a journey starting from the discovery of the first antidepressant drug to the recent exciting advances in antidepressant therapeutic approaches. In particular, we summarize the discovery of monoamine oxidase inhibitors (MAOIs), tricyclic antidepressants (TCAs), selective serotonin re-uptake inhibitors (SSRIs), dual acting/multi-target antidepressants and ketamine. We also discuss novel therapeutic targets such as glutamate, gamma-aminobutyric acid (GABA), neuropeptides, immune system- and brain-gut axis-related targets among others. Finally, we examine the efficacy and safety of non-pharmacological therapeutic approaches for treatment-resistant patients such as electroconvulsive therapy, transcranial magnetic stimulation, magnetic seizure therapy, transcranial direct current stimulation, deep brain stimulation and vagus nerve stimulation.