For many individuals diagnosed with major depression, standard treatments such as antidepressant medication or psychotherapy do not lead to the desired symptom relief. Over the last several decades, a variety of neurostimulation techniques have evolved as promising treatments for patients with treatment-resistant depression. Here, we review clinical applications and significant advancements of the most common neurostimulation modalities, including electroconvulsive therapy, magnetic seizure therapy, transcranial magnetic stimulation, transcranial direct current stimulation, transcranial alternating current stimulation, vagus nerve stimulation, deep brain stimulation, and focused ultrasound. Modalities are examined in terms of their current use for treating major depression, therapeutic efficacy, assumed underlying mechanisms, safety profile, and current challenges. Furthermore, recent developments and ongoing research aimed at improving the personalization, safety, and accessibility of neurostimulation treatments are discussed.