Major depressive disorder is a common psychiatric disorder associated with marked suffering, morbidity, mortality, and cost. The World Health Organization projects that by 2030, major depression will be the leading cause of disease burden worldwide. While numerous treatments for major depression exist, many patients do not respond adequately to traditional antidepressants. Thus, more effective treatments for major depression are needed, and targeting certain hormonal systems is a conceptually based approach that has shown promise in the treatment of this disorder. A number of hormones and hormone-manipulating compounds have been evaluated as monotherapies or adjunctive treatments for major depression, with therapeutic actions attributable not only to the modulation of endocrine systems in the periphery but also to the CNS effects of hormones on non-endocrine brain circuitry. The authors describe the physiology of the hypothalamic-pituitary-adrenal (HPA), hypothalamic-pituitary thyroid (HPT), and hypothalamic-pituitary-gonadal (HPG) axes and review the evidence for selected hormone-based interventions for the treatment of depression in order to provide an update on the state of this field for clinicians and researchers. The review focuses on the HPA axis-based interventions of corticotropin-releasing factor antagonists and the glucocorticoid receptor antagonist mifepristone, the HPT axis-based treatments of thyroid hormones (T3 and T4), and the HPG axis-based treatments of estrogen replacement therapy, the progesterone derivative allopregnanolone, and testosterone. While some treatments have largely failed to translate from preclinical studies, others have shown promising initial results and represent active fields of study in the search for novel effective treatments for major depression.