Major depression is a heterogeneous disorder, both in terms of symptoms, ranging from anhedonia to cognitive impairment, and in terms of pathogenesis, with many interacting genetic, epigenetic, developmental and environmental causes. Accordingly, it seems unlikely that depressive states could be fully controlled by a drug possessing one discrete mechanism of action and, in the wake of disappointing results with several classes of highly selective agent, multi-modal treatment concepts are attracting attention. As concerns pharmacotherapy, there are essentially two core strategies. First, multi-target antidepressants that act via two or more complementary mechanisms and, second, polypharmacy, which refers to co-administration of two distinct drugs, usually in separate pills. Both multi-target agents and polypharmacy ideally couple a therapeutically unexploited action to a clinically established mechanism in order to enhance efficacy, moderate side-effects, accelerate onset of action and treat a broader range of symptoms. The melatonin MT1/MT2 agonist and 5-HT(2C) antagonist, agomelatine, which is effective in the short- and long-term treatment of depression, exemplifies the former approach, while evidence-based polypharmacy is illustrated by the adjunctive use of second-generation antipsychotics with serotonin reuptake inhibitors for treatment of resistant depression. Histone acetylation and methylation, ghrelin signalling, inflammatory modulators, metabotropic glutamate-7 receptors and trace amine-associated-1 receptors comprise attractive substrates for new multi-target and polypharmaceutical strategies. The present article outlines the rationale underpinning multi-modal approaches for treating depression, and critically compares and contrasts the pros and cons of established and potentially novel multi-target vs. polypharmaceutical treatments. On balance, the former appear the most promising for the elaboration, development and clinical implementation of innovative concepts for the more effective management of depression.