Major depressive episodes, which occur in the context of both unipolar and bipolar disorders, cause a significant degree of disability and impose great cost on the economy. Antidepressant medication has been used in clinical practice for decades. However, current antidepressants modulating monoamine neurotransmission are only partially effective in terms of remission of the disease. New developments in antidepressant drug therapy are therefore needed. These will be based on proposed pathophysiological models of depression, which involve the dysfunction of the hypothalamic-pituitary-adrenal (HPA) axis, neuroinflammatory mechanisms, alterations of the glutamatergic function, cholinergic system, and neuropeptides such as opioids and neurokinins. Clinical trials have provided evidence that some of the new compounds acting on these mechanisms may hold promise. Modulators of HPA hyperactivity, anti-inflammatory agents, and glutamate-receptor antagonists have shown the most consistent antidepressant efficacy in controlled studies thus far. However, none of these data currently go beyond the stage of proof-of-concept, and future clinical application is not yet feasible until there are confirmatory trials.