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Major Depressive Disorder (MDD) is a highly prevalent psychiatric disorder worldwide. It causes individual suffering, loss of productivity, increased health care costs and high suicide risk. Current pharmacologic interventions fail to produce at least partial response to approximately one third of these patients, and remission is obtained in approximately 30% of patients. This is known as Treatment-Resistant Depression (TRD). The burden of TRD exponentially increases the longer it persists, with a higher risk of impaired functional and social functioning, vast losses in quality of life and significant risk of somatic morbidity and suicidality. Different approaches have been suggested and utilized, but the results have not been encouraging. In this review article, we present new approaches to identify and correct potential causes of TRD, thereby reducing its prevalence and with it the overall burden of this disease entity. We will address potential contributory factors to TRD, most of which can be investigated in many laboratories as routine tests. We discuss endocrinological aberrations, notably, hypothalamic-pituitary-adrenal (HPA) axis dysregulation and thyroid and gonadal dysfunction. We address the role of Vitamin D in contributing to depression. Pharmacogenomic testing is being increasingly used to determine Single Nucleotide Polymorphisms in Cytochrome P450, Serotonin Transporter, COMT, folic acid conversion (MTHFR). As the role of immune system dysregulation is being recognized as potentially a major contributory factor to TRD, the measurement of C-reactive protein (CRP) and select immune biomarkers, where testing is available, can guide combination treatments with anti-inflammatory agents (e.g., selective COX-2 inhibitors) reversing treatment resistance. We focus on established and emerging test procedures, potential biomarkers and non-biologic assessments and interventions to apply personalized medicine to effectively manage treatment resistance in general and TRD specifically.