Depression represents one of the most common non-motor disorders in Parkinson's disease (PD) and it has been related to worse life quality, higher levels of disability, and cognitive impairment, thereby majorly affecting not only the patients but also their caregivers. Available pharmacological therapeutic options for depression in PD mainly include selective serotonin reuptake inhibitors, serotonin and norepinephrine reuptake inhibitors, and tricyclic antidepressants; meanwhile, agents acting on dopaminergic pathways used for motor symptoms, such as levodopa, dopaminergic agonists, and monoamine oxidase B (MAO-B) inhibitors, may also provide beneficial antidepressant effects. Recently, there is a growing interest in non-pharmacological interventions, including cognitive behavioral therapy; physical exercise, including dance and mind-body exercises, such as yoga, tai chi, and qigong; acupuncture; therapeutic massage; music therapy; active therapy; repetitive transcranial magnetic stimulation (rTMS); and electroconvulsive therapy (ECT) for refractory cases. However, the optimal treatment approach for PD depression is uncertain, its management may be challenging, and definite guidelines are also lacking. It is still unclear which of these interventions is the most appropriate and for which PD stage under which circumstances. Herein, we aim to provide an updated comprehensive review of both pharmacological and non-pharmacological treatments for depression in PD, focusing on recent clinical trials, systematic reviews, and meta-analyses. Finally, we discuss the pharmacological agents that are currently under investigation at a clinical level, as well as future approaches based on the pathophysiological mechanisms underlying the onset of depression in PD.