A high proportion of depressed patients fail to respond to antidepressant drug treatment. Treatment‐resistant depression (TRD) is a major challenge for the psychopharmacology of mood disorders. Only in the past decade have novel treatments, including deep brain stimulation (DBS) and ketamine, been discovered that provide rapid and sometimes prolonged relief to a high proportion of TRD sufferers. In this review, we consider the current status of TRD from four perspectives: the challenge of developing an appropriate regulatory framework for novel rapidly acting antidepressants; the efficacy of non‐pharmacological somatic therapies; the development of an animal model of TRD and its use to understand the neural basis of antidepressant non‐response; and the potential for rapid antidepressant action from targets (such as 5‐HT1A receptors) beyond the glutamate receptor.LINKED ARTICLESThis article is part of a themed issue on New discoveries and perspectives in mental and pain disorders. To view the other articles in this section visit http://onlinelibrary.wiley.com/doi/10.1111/bph.v179.17/issuetoc