Major depressive disorder is a serious mental disorder in which treatment with antidepressant medication is often associated with sexual dysfunction (SD). Given its intimate nature, treatment emergent sexual dysfunction (TESD) has a low rate of spontaneous reports by patients, and this side effect therefore remains underestimated in clinical practice and in technical data sheets for antidepressants. Moreover, the issue of TESD is rarely routinely approached by clinicians in daily praxis. TESD is a determinant for tolerability, since this dysfunction often leads to a state of patient distress (or the distress of their partner) in the sexually active population, which is one of the most frequent reasons for lack of adherence and treatment drop-outs in antidepressant use. There is a delicate balance between prescribing an effective drug that improves depressive symptomatology and also has a minimum impact on sexuality. In this paper, we detail some management strategies for TESD from a clinical perspective, ranging from prevention (carefully choosing an antidepressant with a low rate of TESD) to possible pharmacological interventions aimed at improving patients’ tolerability when TESD is present. The suggested recommendations include the following: for low sexual desire, switching to a non-serotoninergic drug, lowering the dose, or associating bupropion or aripiprazole; for unwanted orgasm delayal or anorgasmia, dose reduction, “weekend holiday”, or switching to a non-serotoninergic drug or fluvoxamine; for erectile dysfunction, switching to a non-serotoninergic drug or the addition of an antidote such as phosphodiesterase 5 inhibitors (PD5-I); and for lubrication difficulties, switching to a non-serotoninergic drug, dose reduction, or using vaginal lubricants. A psychoeducational and psychotherapeutic approach should always be considered in cases with poorly tolerated sexual dysfunction.