Major depressive disorder is a leading cause of disability worldwide and a major contributor to the overall global burden of disease. While there are several options for antidepressant treatment, only about 40–60% of patients respond to initial monotherapy, while 30–40% of patients may even show resistance to treatment. This article offers a narrative review of those studies evaluating the predictive properties of various blood-based baseline biomarkers regarding treatment responses to the pharmacological, stimulation, or behavioral treatment of patients with treatment-resistant depression (TRD). Our results show that overall, there is only a very limited number of studies assessing baseline peripheral biomarkers regarding treatment response in TRD. Although there is some evidence for the predictive significance of particular biomarkers (e.g., IL-6, CRP, BDNF), the majority of the results are either single-study reports or studies with conflicting results. This may contribute to the wide variety of treatment protocols and different TRD definition criteria, the small number of patients included, and the existence of different biological phenotypes of the disorder used within the various studies. Taken together, there does not yet appear to be any specific baseline peripheral biomarker with sufficient discriminative predictive validity that can be used in the routine clinical practice of TRD. The discovery of new biomarkers and the better clinical characterization of known biomarkers could support the better classification and staging of TRD, the development of personalized treatment algorithms with higher rates of remission and fewer side effects, and the development of new precision drugs for specific subgroups of patients.