Depression constitutes a profound and persistent global health concern, contributing substantially to disability and diminished quality of life across populations. Conventional antidepressant therapies, primarily targeting monoaminergic neurotransmission pathways such as serotonin, norepinephrine, and dopamine, have demonstrated limited efficacy in achieving full remission, rapid symptom resolution, and sustained therapeutic outcomes. The suboptimal response rates and delayed onset of action associated with these agents underscore the urgent need for mechanistically distinct and clinically effective pharmacological interventions. Recent advances in neuropsychopharmacology have catalyzed the exploration of novel therapeutic targets that transcend the traditional monoamine hypothesis. Contemporary approaches emphasize the modulation of glutamatergic neurotransmission, particularly via N-methyl-D-aspartate (NMDA) receptor antagonists such as ketamine and esketamine, which exhibit rapid and robust antidepressant effects. Parallel developments in electrophysiological and magnetic brain stimulation modalities, including transcranial magnetic stimulation (TMS) and deep brain stimulation (DBS), have offered non-pharmacological avenues for treatment-resistant depression. Moreover, the emerging roles of neuroinflammation, gut–brain axis dysregulation, and gamma-aminobutyric acid (GABA) imbalance have inspired investigations into anti-inflammatory agents, microbiota-targeted therapies, and GABAergic modulators as promising adjuncts. Psychedelic-assisted therapies, leveraging compounds such as psilocybin and dimethyltryptamine (DMT), have further expanded the therapeutic landscape through their modulation of neural connectivity and plasticity. This review synthesizes current literature on these innovative strategies, delineating their molecular mechanisms, clinical efficacy, safety profiles, and translational prospects. Collectively, these approaches represent a paradigm shift in the pharmacological management of depression, offering new insights to overcome the therapeutic limitations of conventional antidepressant regimens.