Depression is a major health problem with a high prevalence and a heavy socioeconomic burden in western societies. It is associated with atrophy and impaired functioning of cortico-limbic regions involved in mood and emotion regulation. It has been suggested that alterations in neurotrophins underlie impaired neuroplasticity, which may be causally related to the development and course of depression. Accordingly, mounting evidence suggests that antidepressant treatment may exert its beneficial effects by enhancing trophic signaling on neuronal and synaptic plasticity. However, current antidepressants still show a delayed onset of action, as well as lack of efficacy. Hence, a deeper understanding of the molecular and cellular mechanisms involved in the pathophysiology of depression, as well as in the action of antidepressants, might provide further insight to drive the development of novel fast-acting and more effective therapies. Here, we summarize the current literature on the involvement of neurotrophic factors in the pathophysiology and treatment of depression. Further, we advocate that future development of antidepressants should be based on the neurotrophin theory.