Clinical trial data suggest that at least one-third of depressed patients fail to respond to an adequate antidepressant treatment regimen. Alternative treatments are available to primary care physicians (PCPs) who seek to increase the likelihood of a successful therapeutic outcome for patients who are unresponsive to a first course of antidepressants. Nonpharmacologic strategies include cognitive-behavioral therapy, electroconvulsive therapy, light therapy, and exercise regimens. Vagus nerve stimulation is an option that has recently come available for patients who have had poor response to ≥4 treatment regimens. Additionally, transcranial magnetic stimulation may be available in the future. Pharmacologic alternatives include augmenting an antidepressant with a non-antidepressant, combining two antidepressants, or switching from one antidepressant to another. Although each of these options may have a role in the treatment of depression that is unresponsive to an appropriate first antidepressant regimen, evidence suggests that a good initial step would be to switch to an antidepressant in another class that offers a different mechanism of action. This article discusses a variety of alternative antidepressant treatments as well as the mechanics of switching regimens to assist PCPs in formulating the most appropriate and effective treatment strategy for patients with major depressive disorder whose first antidepressant treatment has failed.