Treatment-resistant depression (TRD) is a major public health problem, affecting patients, their close relatives, and the society as a whole. Despite recent developments in psychopharmacotherapy, more than 50% of depressed patients fail to reach complete remission even when adequately treated. Neurostimulation therapies are an open field in research for the treatment of TRD, involving the delivery of physical interventions either through electric current or a magnetic field to target selective or generalized brain regions. In this paper we review evidences for four brain-stimulation therapies, i.e. electroconvulsive therapy (ECT), repetitive transcranial magnetic stimulation (rTMS), vagus nerve stimulation (VNS) and deep brain stimulation (DBS), and we enlighten several new approaches regarding ECT, rTMS and epidural cortical stimulation (EpCS). ECT is the form of neurostimulation with the most extensive evidence, rTMS and VNS have a much smaller evidence base. There is emerging evidence that DBS is effective for otherwise TRD, but this is still an investigational approach. Other approaches are anecdotal reports. ECT and rTMS can be considered as a first-line treatment under specific circumstances. Evidence supporting VNS is less consistent and DBS remains an investigational treatment. Other techniques are promising, but double-blind studies are warranted to evaluate these new approaches to TRD.