The phenomenon of treatment-resistant depression (TRD), described as the occurrence of an inadequate response after an adequate treatment with antidepressant agents (in terms of dose, duration, and adherence), is very common in clinical practice. It has been broadly defined in the context of unipolar major depression, but alternative definitions for bipolar depression have also been suggested. In both cases, there is a remarkable lack of consensus amongst professionals concerning its operative definition. A relatively wide variety of treatment options for unipolar TRD are available, whilst the evidence is very scanty for bipolar TRD. TRD is associated to poor clinical, functional, and social outcomes. Several novel therapeutic options are currently being investigated as promising alternatives, targeting the neurotransmitter system outside of the standard monoamine hypothesis. Augmentation or combination with lithium or atypical antipsychotics appears as a valid option for both conditions, and the same occurs with electroconvulsive therapy. Other non-pharmacological strategies such as deep brain stimulation may be promising alternatives for the future. The use of cognitive behaviour therapy is recommended for unipolar TRD, but there is no evidence supporting its use in bipolar TRD.