Depression is a chronic neuropsychiatric disorder characterized by emotional instability, sadness, sleep disturbances, cognitive impairment, and loss of interest in daily activities. Conventional antidepressant therapies are associated with delayed onset of action, systemic adverse effects, poor patient compliance, low bioavailability, and inadequate blood–brain barrier penetration. Advanced pharmaceutical technologies including bilayer tablet systems and nanotechnology-based drug delivery approaches have emerged as promising strategies for improving antidepressant therapy. Bilayer tablets provide immediate and sustained drug release profiles within a single dosage form, thereby improving therapeutic efficacy and patient adherence. Nanotechnology-based systems including nanoparticles, nanoemulsions, lipid carriers, and intranasal formulations improve targeted brain delivery and reduce systemic toxicity. The present review discusses depression pathophysiology, antidepressant mechanisms, bilayer tablet technologies, tablet preparation methods, evaluation parameters, marketed antidepressant formulations, and recent advancements in nano-based antidepressant delivery systems. The review further highlights the future potential of advanced pharmaceutical approaches in depression management.