Psychotic major depressive disorder (MDD) is a mood disorder characterized by severe affective and neurovegetative symptoms together with the presence of delusions and/or hallucinations. It is a common disorder seen in a quarter of consecutively admitted depressed patients and is often associated with severe symptomatology, increased suicide risk, poor acute response to antidepressants and poor acute and long-term treatment outcome. It is possible that poor response in psychotic depression is caused by the fact that we have yet to identify the most efficacious treatment protocol for psychotic MDD. Multiple studies have shown that modifications in the treatment paradigm may increase treatment efficacy in psychotic MDD. It has been generally accepted that, during the acute treatment phase, antidepressant-antipsychotic drug combination therapy is more effective than either treatment alone, although this strategy has recently been challenged. The question of the optimal duration of pharmacotherapy in order to prevent relapse and improve long-term (i.e., 5-year) outcome is a focus of current investigation. This article will review currently recommended treatment strategies for the acute, continuation and maintenance phases of therapy. In particular, it will address the role of newer-generation antidepressants, the role of second-generation antipsychotics, the use of mood stabilizers and indications for electroconvulsive therapy. Other possible treatment strategies such as transcranial magnetic stimulation, vagus nerve stimulation, deep-brain stimulation and glucocorticoid receptor antagonists will be discussed. Current recommendations for the prevention of relapse and improvement of long-term outcome will be reviewed.