Major depressive disorder (MDD), a prevalent mental illness, is marked by a complex mixture of biological factors. This review focuses on the roles of oxidative stress, tryptophan-serotonin metabolism, brain-derived neurotrophic factor (BDNF), and the hypothalamic–pituitary–adrenal (HPA) axis in MDD’s pathophysiology. Oxidative stress, defined as an imbalance between pro-oxidants and antioxidants, is closely linked to MDD’s neurobiological changes. The tryptophan (TRP)-/serotonin (5-HT) metabolic pathway is also known to be crucial in mood regulation, with its dysregulation being a central aspect of MDD. Additionally, BDNF, key for neuronal growth and plasticity, often shows alterations in MDD patients, supporting its role in the disorder’s progression. Furthermore, the HPA axis, which manages stress response, is frequently disrupted in MDD, further contributing to its complex pathology. In addition to exploring these biological mechanisms, this review also explores the pharmacotherapy of MDD, including new advances. These advancements in treatment strategies are crucial for managing MDD effectively. Understanding these mechanisms and the latest pharmacological interventions is essential for developing more effective treatments for MDD.