Major depressive disorder (MDD) is a leading cause of disability worldwide. Clinicians need to determine the most appropriate and effective interventions for patients who do not benefit from first-line treatment. A systematic review of the literature on augmentation strategies for major depression was conducted. A total of 32 eligible studies were included in the final review. Identified augmentation strategies included lithium, thyroid hormone, buspirone, stimulant drugs (methylphenidate and modafinil), and atypical antipsychotics (olanzapine, quetiapine, aripiprazole, and risperidone). Additional studies used other augmentation strategies (yohimbine, atomoxetine, inositol, testosterone, and lamotrigine), or combinations with a second antidepressant (mianserin, mirtazapine, and desipramine). There was no evidence of clinical efficacy as measured by response in augmentation with buspirone, testosterone, methylphenidate, yohimbine, inositol, and atomoxetine. Although some studies of combined antidepressant therapy and lithium augmentation did show statistically significant clinical effects, results were inconsistent across studies. The only eligible study of thyroid augmentation was positive, though this study evaluated patients treated with tricyclic antidepressants. It is possible due to small sample sizes, that some of the trials failed to detect significant differences versus placebo because of inadequate statistical power. Adjunctive therapy with atypical antipsychotics showed higher response rates compared with antidepressant monotherapy and placebo but also had more withdrawals due to adverse events. Given ongoing concerns with the longer term tolerability and safety of the atypical antipsychotics, future research will need to investigate optimal duration of augmentation therapy in patients with major depressive disorder who do not respond to first line therapy.