Major depressive disorder (MDD) is a common medical illness affecting millions worldwide. Despite their widespread use since the 1950s and 1960s, the 'downstream' mechanism by which antidepressants ultimately exert their therapeutic effects remains elusive. In addition, except for a few exceptions such as episode severity and the presence of comorbid Axis-I or Axis-III disorders, biological or clinical characteristics which can accurately quantify the risk of poor treatment outcome are lacking, as are factors which could help patients and clinicians select treatment options that would result in superior outcome. The identification of such markers, termed 'surrogate' markers, could help shed further insights into what constitutes illness and recovery, help identify molecular targets for the development of future antidepressants, and lead the way to the design and refinement of a personalized medicine treatment model for MDD. In the following text, several major areas ('leads') where evidence exists regarding the presence of surrogate markers of efficacy outcome in MDD will be briefly reviewed. Leads include evidence from the role of demographic and clinical factors as surrogate markers, to the role of various biological markers including genotype, brain functional imaging, electroencephalography, dichotic listening, and molecular biology and immunology. The purpose of this work is to focus selectively on areas where there have been findings, as opposed to conducting an exhaustive literature review of studies which have failed to yield any significant breakthrough in our knowledge.