Major depressive disorder is a mood disorder characterized by both severe affective and neurovegetative symptoms together. It is a common disorder seen in a quarter of consecutively admitted depressed patients and is often associated with severe symptomatology, increased suicide risk, poor acute response to antidepressants and poor acute and long-term treatment outcome. The question of the optimal duration of pharmacotherapy in order to prevent relapse and improve the long-term (i.e., 5-year) outcome is a focus of current investigation. This article will review currently recommended treatment strategies for the acute, continuation and maintenance phases of therapy. In particular, it will address the role of newer-generation antidepressants, the use of mood stabilizers and indications for electroconvulsive therapy. Other possible treatment strategies such as transcranial magnetic stimulation, vagus nerve stimulation, deep brain stimulation and glucocorticoid receptor antagonists will be discussed.