Treatment outcomes for major depressive disorder (MDD) need to be improved. Presently, no clinically relevant tools have been established for stratifying subgroups or predicting outcomes. This literature review sought to investigate factors closely linked to outcome and summarize existing and novel strategies for improvement. The results show that early recognition and treatment are crucial, as duration of untreated depression correlates with worse outcomes. Early improvement is associated with response and remission, while comorbidities prolong course of illness. Potential biomarkers have been explored, including hippocampal volumes, neuronal activity of the anterior cingulate cortex, and levels of brain-derived neurotrophic factor (BDNF) and central and peripheral inflammatory markers (e.g., translocator protein (TSPO), interleukin-6 (IL-6), C-reactive protein (CRP), tumor necrosis factor alpha (TNFα)). However, their integration into routine clinical care has not yet been fully elucidated, and more research is needed in this regard. Genetic findings suggest that testing for CYP450 isoenzyme activity may improve treatment outcomes. Strategies such as managing risk factors, improving clinical trial methodology, and designing structured step-by-step treatments are also beneficial. Finally, drawing on existing guidelines, we outline a sequential treatment optimization paradigm for selecting first-, second-, and third-line treatments for acute and chronically ill patients. Well-established treatments such as electroconvulsive therapy (ECT) are clinically relevant for treatment-resistant populations, and novel transcranial stimulation methods such as theta-burst stimulation (TBS) and magnetic seizure therapy (MST) have shown promising results. Novel rapid-acting antidepressants, such as ketamine, may also constitute a paradigm shift in treatment optimization for MDD.