Depression is widely acknowledged to be a heterogeneous entity, and the need to further characterize the individual patient who has received this diagnosis in order to personalize the management plan has been repeatedly emphasized. However, the research evidence that should guide this personalization is at present fragmentary, and the selection of treatment is usually based on the clinician's and/or the patient's preference and on safety issues, in a trial‐and‐error fashion, paying little attention to the particular features of the specific case. This may be one of the reasons why the majority of patients with a diagnosis of depression do not achieve remission with the first treatment they receive. The predominant pessimism about the actual feasibility of the personalization of treatment of depression in routine clinical practice has recently been tempered by some secondary analyses of databases from clinical trials, using approaches such as individual patient data meta‐analysis and machine learning, which indicate that some variables may indeed contribute to the identification of patients who are likely to respond differently to various antidepressant drugs or to antidepressant medication vs. specific psychotherapies. The need to develop decision support tools guiding the personalization of treatment of depression has been recently reaffirmed, and the point made that these tools should be developed through large observational studies using a comprehensive battery of self‐report and clinical measures. The present paper aims to describe systematically the salient domains that should be considered in this effort to personalize depression treatment. For each domain, the available research evidence is summarized, and the relevant assessment instruments are reviewed, with special attention to their suitability for use in routine clinical practice, also in view of their possible inclusion in the above‐mentioned comprehensive battery of measures. The main unmet needs that research should address in this area are emphasized. Where the available evidence allows providing the clinician with specific advice that can already be used today to make the management of depression more personalized, this advice is highlighted. Indeed, some sections of the paper, such as those on neurocognition and on physical comorbidities, indicate that the modern management of depression is becoming increasingly complex, with several components other than simply the choice of an antidepressant and/or a psychotherapy, some of which can already be reliably personalized.