Deep brain stimulation (DBS) has emerged as a promising treatment for select patients with refractory major depressive disorder (MDD). The clinical effectiveness of DBS for MDD has been demonstrated in meta-analyses, open-label studies, and a few controlled studies. However, randomized controlled trials have yielded mixed outcomes, highlighting challenges that must be addressed prior to widespread adoption of DBS for MDD. These challenges include tracking MDD symptoms objectively to evaluate the clinical effectiveness of DBS with sensitivity and specificity, identifying the patient population that is most likely to benefit from DBS, selecting the optimal patient-specific surgical target and stimulation parameters, and understanding the mechanisms underpinning the therapeutic benefits of DBS in the context of MDD pathophysiology. In this review, we provide an overview of the latest clinical evidence of MDD DBS effectiveness and the recent technological advancements that could transform our understanding of MDD pathophysiology, improve the clinical outcomes for MDD DBS, and establish a path forward to develop more effective neuromodulation therapies to alleviate depressive symptoms.