Major depressive disorder is one of the most prevalent mental health disorders. Monoamine-based antidepressants were the first drugs developed to treat major depressive disorder. More recently, ketamine and other analogues were introduced as fast-acting antidepressants. Unfortunately, currently available therapeutics are inadequate; lack of efficacy, adverse effects, and risks leave patients with limited treatment options. Efforts are now focused on understanding the etiology of depression and identifying novel targets for pharmacological treatment. In this review, we discuss promising novel pharmacological targets for the treatment of major depressive disorder. Targeting receptors including N-methyl-D-aspartate receptors, peroxisome proliferator-activated receptors, G-protein-coupled receptor 39, metabotropic glutamate receptors, galanin and opioid receptors has potential antidepressant effects. Compounds targeting biological processes: inflammation, the hypothalamic-pituitary-adrenal axis, the cholesterol biosynthesis pathway, and gut microbiota have also shown therapeutic potential. Additionally, natural products including plants, herbs, and fatty acids improved depressive symptoms and behaviors. In this review, a brief history of clinically available antidepressants will be provided, with a primary focus on novel pharmaceutical approaches with promising antidepressant effects in preclinical and clinical studies.