Major depressive disorder is a serious medical illness associated with significant burden. Our current treatments for depression are limited, which has motivated researchers to explore novel targets. This article will highlight new psychopharmacological agents and investigational directions which may show promise in achieving better outcomes and symptom relief for those suffering from depression. This review will address key categories of novel therapeutic targets for depression. The newer and investigational agents involving monoaminergic transmission will be discussed, followed by those with glutamatergic, opioid, anticholinergic, and miscellaneous mechanisms. As the field continues to learn more about the pathophysiology of depression, there will be an emergence of additional innovative targets and investigational mechanisms, along with an improvement in our treatment outcomes.