Aggression and deficient cognitive control problems are widespread in psychiatric disorders, including major depressive disorder (MDD). These abnormalities are known to contribute significantly to the accompanying functional impairment and the global burden of disease. Progress in the development of targeted treatments of excessive aggression and accompanying symptoms has been limited, and there exists a major unmet need to develop more efficacious treatments for depressed patients. Due to the complex nature and the clinical heterogeneity of MDD and the lack of precise knowledge regarding its pathophysiology, effective management is challenging. Nonetheless, the aetiology and pathophysiology of MDD has been the subject of extensive research and there is a vast body of the latest literature that points to new mechanisms for this disorder. Here, we overview the key mechanisms, which include neuroinflammation, oxidative stress, insulin receptor signalling and abnormal myelination. We discuss the hypotheses that have been proposed to unify these processes, as many of these pathways are integrated for the neurobiology of MDD. We also describe the current translational approaches in modelling depression, including the recent advances in stress models of MDD, and emerging novel therapies, including novel approaches to management of excessive aggression, such as anti-diabetic drugs, antioxidant treatment and herbal compositions.