Major depressive disorder (MDD) is the most prevalent psychiatric disorder, but it can be underdiagnosed or misdiagnosed. Most people with depression are seen in primary care settings, where there are limited resources to diagnose and treat the patient. There is a lack of clinically validated objective laboratory-based diagnostic tests to diagnose MDD; however, it is clear that these tests could greatly improve the correct and timely diagnosis. This review aims to give a cross-sectional view of current efforts of DNA methylomic, transcriptomic, and proteomic approaches to identify biomarkers. We outline our view of the biomarker developmental steps from discovery to clinical application. We then propose that better cooperation will lead us closer to the common goal of identifying biological biomarkers for major depression. "The important thing is not to stop questioning. Curiosity has its own reason for existing." Albert Einstein.