Major depressive disorder (MDD) is a complex and common disorder, with many factors involved in its onset and development. The clinical management of this condition is frequently based on the use of some pharmacological antidepressant agents, together with psychotherapy and other alternatives in most severe cases. However, an important percentage of depressed patients fail to respond to the use of conventional therapies. This has created the urgency of finding novel approaches to help in the clinical management of those individuals. Nutraceuticals are natural compounds contained in food with proven benefits either in health promotion or disease prevention and therapy. A growing interest and economical sources are being placed in the development and understanding of multiple nutraceutical products. Here, we summarize some of the most relevant nutraceutical agents evaluated in preclinical and clinical models of depression. In addition, we will also explore less frequent but interest nutraceutical products which are starting to be tested, also evaluating future roads to cover in order to maximize the benefits of nutraceuticals in MDD.