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Major depressive disorder is one of the most common and debilitating psychiatric disorders. Some of the motivational symptoms of depression, such anergia (lack of self-reported energy) and fatigue are relatively resistant to traditional treatments such as serotonin uptake inhibitors. Thus, new pharmacological targets are being investigated. Epidemiological data suggest that caffeine consumption can have an impact on aspects of depressive symptomatology. Caffeine is a non-selective adenosine antagonist for A1/A2A receptors, and has been demonstrated to modulate behavior in classical animal models of depression. Moreover, selective adenosine receptor antagonists are being assessed for their antidepressant effects in animal studies. This review focuses on how caffeine and selective adenosine antagonists can improve different aspects of depression in humans, as well as in animal models. The effects on motivational symptoms of depression such as anergia, fatigue, and psychomotor slowing receive particular attention. Thus, the ability of adenosine receptor antagonists to reverse the anergia induced by dopamine antagonism or depletion is of special interest. In conclusion, although further studies are needed, it appears that caffeine and selective adenosine receptor antagonists could be therapeutic agents for the treatment of motivational dysfunction in depression.