Treatment resistant depression (TRD) is associated with poor outcomes, but a consensus is lacking in the literature regarding which compound represents the best pharmacological augmentation strategy to antidepressants (AD). In the present review, we identify the available literature regarding the pharmacological augmentation to AD in TRD. Research in the main psychiatric databases was performed (PubMed, ISI Web of Knowledge, PsychInfo). Only original articles in English with the main topic being pharmacological augmentation in TRD and presenting a precise definition of TRD were included. Aripiprazole and lithium were the most investigated molecules, and aripiprazole presented the strongest evidence of efficacy. Moreover, olanzapine, quetiapine, cariprazine, risperidone, and ziprasidone showed positive results but to a lesser extent. Brexpiprazole and intranasal esketamine need further study in real-world practice. Intravenous ketamine presented an evincible AD effect in the short-term. The efficacy of adjunctive ADs, antiepileptic drugs, psychostimulants, pramipexole, ropinirole, acetyl-salicylic acid, metyrapone, reserpine, testosterone, T3/T4, naltrexone, SAMe, and zinc cannot be precisely estimated in light of the limited available data. Studies on lamotrigine and pindolol reported negative results. According to our results, aripiprazole and lithium may be considered by clinicians as potential effective augmentative strategies in TRD, although the data regarding lithium are somewhat controversial. Reliable conclusions about the other molecules cannot be drawn. Further controlled comparative studies, standardized in terms of design, doses, and duration of the augmentative treatments, are needed to formulate definitive conclusions.