Over the past two decades, the clinical management of depression has been revolutionized by the introduction of selective serotonin re-uptake inhibitors and serotonin/noradrenaline re-uptake inhibitors. However, despite this progress, several unmet medical needs remain. These challenges, which collectively represent the next frontier for antidepressant drug discovery, range from improving efficacy in treatment-resistant patients, to accelerating onset of therapeutic activity, to reducing deleterious side effects such as emesis or sexual dysfunction. The present review addresses some of the innovative approaches designed to create novel therapies that improve in one or more of these areas. Additionally, the authors propose that to discover truly novel disease-modifying agents we must improve our appreciation of disease etiology, pathophysiology and genetics. Therefore, while it is still very early in the characterization of these strategies - as well as our general understanding of disease progression - the next several years should allow sufficient time for one (or more) of these approaches to differentiate themselves from current therapies.