Due to the heterogeneous nature of depression, the underlying etiological mechanisms greatly differ among individuals, and there are no known subtype-specific biomarkers to serve as precise targets for therapeutic efficacy. The extensive research efforts over the past decades have not yielded much success, and the currently used first-line conventional antidepressants are still ineffective for close to 66% of patients. Most clinicians use trial-and-error treatment approaches, which seem beneficial to only a fraction of patients, with some eventually developing treatment resistance. Here, we review evidence from both preclinical and clinical studies on the pathogenesis of depression and antidepressant treatment response. We also discuss the efficacy of the currently used pharmacological and non-pharmacological approaches, as well as the novel emerging therapies. The review reveals that the underlying mechanisms in the pathogenesis of depression and antidepressant response, are not specific, but rather involve an interplay between various neurotransmitter systems, inflammatory mediators, stress, HPA axis dysregulation, genetics, and other psycho-neurophysiological factors. None of the current depression hypotheses sufficiently accounts for the interactional mechanisms involved in both its etiology and treatment response, which could partly explain the limited success in discovering efficacious antidepressant treatment. Effective management of treatment-resistant depression (TRD) requires targeting several interactional mechanisms, using subtype-specific and/or personalized therapeutic modalities, which could, for example, include multi-target pharmacotherapies in augmentation with psychotherapy and/or other non-pharmacological approaches. Future research guided by interaction mechanisms hypotheses could provide more insights into potential etiologies of TRD, precision biomarker targets, and efficacious therapeutic modalities.