Major Depressive Disorder (MDD) is often a lifetime disabling mental illness as individuals with MDD might not benefit from standard-therapy, including both pharmacological and psychosocial interventions. Novel therapies are, therefore, required. It was shown by recent preclinical and clinical studies that the dysfunction of glutamatergic neurotransmission might be involved in the pathophysiology of MDD. Furthermore, neuroimmune alterations could have a significant role in the pathogenesis of MDD. Vitamin D is a neurosteroid hormone essential for several metabolic processes, immune responses, and for regulating neurotrophic-neuroprotective processes, neurotransmission and synaptic plasticity. Recent studies have also shown Vitamin D deficiency in patients with severe psychiatric disorders, including MDD. Lately, clinical studies have shown the neuroprotective action of N-acetyl cysteine (NAC) through the modulation of inflammatory pathways and via the modulation of synaptic release of glutamate in cortico-subcortical brain regions; the cysteine-glutamate antiporter. This paper reviews the therapeutic use of Vitamin D and NAC and among individuals with refractory MDD to the first- line pharmacological interventions, reviewing the clinical studies published in the last decade. A detailed summary of the current evidence in this area aims to better inform psychiatrists and general practitioners on the potential benefits of Vitamin D and NAC supplementation for this disorder. Nutraceutical supplementation with Vitamin D and NAC in treatment-resistant MDD patients may be important not only for improving depressive clinical manifestations but also for their safety and tolerability profile. This is of great interest, especially considering the need for treating special populations affected by MDD, such as youngsters and elders. Finally, the nutraceutical approach represents a good choice, considering its better compliance by the patients compared to traditional psychopharmacological treatment.