Major depressive disorder (MDD) is one of the most prevalent mental diseases. The first monoamine-based antidepressants were designed for treating MDD. Ketamine and its analogues were recently launched as fast-acting antidepressants. Unfortunately, the present therapeutic alternatives are insufficient; their lack of effectiveness, hazards and unwanted effects and patients with few therapy options. Efforts are currently being directed at understanding the genesis of depression and discovering new pharmaceutical therapy. In this review, we examine possible new pharmaceutical targets for the treatment of major depressive illness. Antidepressant effects may be obtained by targeting receptors such as peroxisome proliferator-activated receptors, G-protein-coupled receptors, opioid receptors and galanin receptors. This study highlights the anti-inflammatory activity of SNRIs & SSRIs anti-depression therapy, as well as the specific issues for each medication. In addition, we present outline of the depression theory and underlying processes. Furthermore, natural goods such as herbs, plants and fatty acids alleviated depression behaviours and symptoms. This review will present a brief history of medically accessible antidepressants, with a special focus on innovative pharmacological methods that have shown potential antidepressant activity in clinical and preclinical research. As a conclude SSRIs and SNRIs have an Anti-inflammatory role which might contribute the Anti-depressant activity.