Major depressive disorder is a common and disabling illness that leads to significant reductions in quality of life and considerable cost to society. Despite numerous advances in the pharmacological treatment of depression, many patients remain ill despite initial treatment. Beyond first-line treatment, current guidelines recommend either augmentation or switching of the initial antidepressant. In this narrative review, we summarize the data from randomized controlled trials and meta-analyses in order to concisely discuss how the impact of current research can be translated into clinical practice and, ultimately, into lasting improvements in patient outcomes. The augmentation strategies reviewed are lithium, thyroid hormone, pindolol, psychostimulants and second-generation antipsychotics. The data on switching from first-line antidepressants to other antidepressants are also reviewed, and include switching within the same class, switching to other first-line antidepressant classes and switching to less commonly prescribed antidepressants. Finally, the strategy of antidepressant combinations is examined. Overall, the strength of evidence supporting a trial of augmentation or a switch to a new agent is very similar, with remission rates between 25% and 50% in both cases. Our review of the evidence suggests several conclusions. First, although it is true that adjunctive lithium and thyroid hormone have established efficacy, we can only be confident that this is true for use in combination with tricyclic antidepressants (TCAs), and the trials were done in less treatment-resistant patients than those who typically receive TCAs today. Of these two options, triiodothyronine augmentation seems to offer the best benefit/risk ratio for augmentation of modern antidepressants. After failure of a first-line selective serotonin reuptake inhibitor (SSRI), neither a switch within class nor a switch to a different class of antidepressant is unequivocally supported by the data, although switching from an SSRI to venlafaxine or mirtazapine may potentially offer greater benefits. Interestingly, switching from a newer antidepressant to a TCA after a poor response to the former is not supported by strong evidence. Of all strategies to augment response to new-generation antidepressants, quetiapine and aripiprazole are best supported by the evidence, although neither the cost effectiveness nor the longer-term benefit of these strategies has been established. The data to guide later steps in the treatment of resistant depression are sparse. Given the wide variety of options for the treatment of major depressive disorder, and the demonstrated importance of truly adequate treatment to the long-term outcomes of patients facing this illness, it is clear that further well conducted studies are needed.