Treatment resistant depression (TRD) is a global health concern affecting a large proportion of depressed patients who then require novel therapeutic options. One such treatment option that has received some attention in the past several years is vagal nerve stimulation (VNS). The present review briefly describes the relevance of this treatment in the light of other existing pharmacological and non-pharmacological options. It then summarizes clinical findings with respect to the efficacy of VNS. The anatomical rationale for its efficacy and other potential mechanisms of its antidepressant effects as compared to those employed by classical antidepressant drugs are discussed. VNS has been approved in some countries and has been used for patients with TRD for quite some time. A newer, fast-acting, non-invasive pharmacological option called ketamine is currently in the limelight with reference to TRD. This drug is currently in the investigational phase but shows promise. The clinical and preclinical findings related to ketamine have also been summarized and compared with those for VNS. The role of neurotrophin factors, specifically brain derived neurotrophic factor and its receptor, in the beneficial effects of both VNS and ketamine have been highlighted. It can be concluded that both these therapeutic modalities, while effective, need further research that can reveal specific targets for intervention by novel drugs and address concerns related to side-effects, especially those seen with ketamine.