Major depressive disorder (MDD) is a heritable disease with a heavy personal and socio-economic burden. Antidepressants of different classes are prescribed to treat MDD, but reliable and reproducible markers of efficacy are not available for clinical use. Further complicating treatment, the diagnosis of MDD is not guided by objective criteria, resulting in the risk of under- or overtreatment. A number of markers of MDD and antidepressant response have been investigated at the genetic, epigenetic, gene expression and protein levels. Polymorphisms in genes involved in antidepressant metabolism (cytochrome P450 isoenzymes), antidepressant transport (ABCB1), glucocorticoid signalling (FKBP5) and serotonin neurotransmission (SLC6A4 and HTR2A) were among those included in the first pharmacogenetic assays that have been tested for clinical applicability. The results of these investigations were encouraging when examining patient-outcome improvement. Furthermore, a nine-serum biomarker panel (including BDNF, cortisol and soluble TNF-α receptor type II) showed good sensitivity and specificity in differentiating between MDD and healthy controls. These first diagnostic and response-predictive tests for MDD provided a source of optimism for future clinical applications. However, such findings should be considered very carefully because their benefit/cost ratio and clinical indications were not clearly demonstrated. Future tests may include combinations of different types of biomarkers and be specific for MDD subtypes or pathological dimensions.