Depression is characterized by a feeling of sadness and a lack of pleasure, with impaired daily functioning and poor quality of life. The neurobiology and the pathogenesis of depression are not fully understood yet. Several hypotheses have been discussed including, monoamine theory, neurotransmission, oxidation, inflammation, glutamatergic transmission, neurotrophic factors, and others. Reviewing three decades of randomized controlled trials of antidepressants revealed that the antidepressants response rate is about 54% compared to a placebo response rate of 37%. Treatment-resistant depression (TRD) could be defined as an inadequate response to two different of antidepressants. In TRD, a combination strategy of using two FDA-approved antidepressants is used, which may predispose patients to adverse effects. Therefore, there is a compelling need to explore the potential “out of the box” adjuvants to antidepressants to provide higher and consistent response rates with high tolerability. These adjuvants could be medications available for other indications, food supplements, or even experimental drugs. This review will highlight potentially beneficial adjuvants to antidepressants such as nitric oxide modulators, NMDA antagonists, anti-inflammatory, antioxidants, mitochondrial modulators, insulin sensitizers, opioids, probiotics, and GABA agonists.