Treatment-Resistant Depression (TRD) patients remain a challenging sub-division of patients with Major Depressive Disorder (MDD) in day to day clinical practice. As with any diagnostic condition, comprehensive evaluation, exclusion of other psychiatric conditions, assessment of co-morbid medical and psychiatric illnesses and psychosocial stressors are the keys to appropriate diagnosis and subsequent management. There are various management options available for the treatment of MDD, however, about 30% of the patients fail to achieve full remission of symptoms despite multiple trials and belong to this sub-category of MDD. This article brings forth discussion of other non-conventional medication and non-medication treatment alternatives that merit exploration of their efficacy in TRD. Many of the proposed novel medications and other treatment modalities such as Deep Brain Stimulation, exercise, yoga are already used for other medical and psychiatric disorders and have some evidence suggesting their potential benefits in TRD in conjunction with conventional medications or even as monotherapy. Nevertheless, more research is needed in this direction to establish effectiveness.