Major depressive disorder is a heterogeneous disorder, mostly diagnosed on the basis of symptomatic criteria alone. It would be of great help when specific biomarkers for various subtypes and symptom clusters of depression become available to assist in diagnosis and subtyping of depression, and to enable monitoring and prognosis of treatment response. However, currently known biomarkers do not reach sufficient sensitivity and specificity, and often the relation to underlying pathophysiology is unclear. In this review, we evaluate various biomarker approaches in terms of scientific merit and clinical applicability. Finally, we discuss how combined biomarker approaches in both preclinical and clinical studies can help to make the connection between the clinical manifestations of depression and the underlying pathophysiology.