Major depressive disorder stands as a profound challenge in the realm of psychiatric illnesses disrupting the well-being and daily existence of affected individuals. This heterogeneous condition continues to baffle researchers due to the elusive nature of its full neurological mechanisms. This review delves into the complex landscape of major depressive disorder, exploring the diverse therapeutic avenues available, from the nuanced realms of psychotherapy to the pharmacological and non-pharmacological approaches that have been the focus of extensive research. In the relentless pursuit of relief for those afflicted, substantial efforts and resources are tirelessly channeled into the exploration of novel antidepressants and the refinement of existing therapeutic protocols. This review juxtaposes the efficiencies of existing treatments, unraveling their comparative effectiveness, and shedding light on their respective strengths and limitations. Even so, the question remains, how well are we managing the treatment of major depressive disorder, and which is the best option not only to treat this condition but also to reach full remission. Consequently, we have compiled findings on treatment selections and how efficient they are in relation to each other. The more we understand how to treat depression effectively the more we can improve the quality of life of individuals affected by this disorder. By comprehensively evaluating the diverse modalities, this review aims to guide clinicians and researchers toward evidence-based decisions, facilitating the formulation of individualized and targeted treatment protocols.