The neurotrophic hypothesis of depression states that the major depressive episode is associated with lower neurotrophic factors levels, which increase with amelioration of depressive symptoms. However, this hypothesis has not been extended to investigate neurotrophic factors other than the brain-derived neurotrophic factor (BDNF). We therefore explored whether plasma levels of neurotrophins 3 (NT-3) and 4 (NT-4), nerve growth factor (NGF) and glial cell line derived neurotrophic factor (GDNF) changed after antidepressant treatment and correlated with treatment response. Seventy-three patients with moderate-to-severe, antidepressant-free unipolar depression were assigned to a pharmacological (sertraline) and a non-pharmacological (transcranial direct current stimulation, tDCS) intervention in a randomized, 2 × 2, placebo-controlled design. The plasma levels of NT-3, NT-4, NGF and GDNF were determined by enzyme-linked immunosorbent assay before and after a 6-week treatment course and analyzed according to clinical response and allocation group. We found that tDCS and sertraline (separately and combined) produced significant improvement in depressive symptoms. Plasma levels of all neurotrophic factors were similar across groups at baseline and remained significantly unchanged regardless of the intervention and of clinical response. Also, baseline plasma levels were not associated with clinical response. To conclude, in this 6-week placebo-controlled trial, NT-3, NT-4, NGF and GDNF plasma levels did not significantly change with sertraline or tDCS. These data suggest that these neurotrophic factors are not surrogate biomarkers of treatment response or involved in the antidepressant mechanisms of tDCS.