Enhanced activity of the hypothalamic-pituitary-adrenal (HPA) axis, involving elevated secretion of corticotropin-releasing hormone (CRH), is considered a key neurobiological alteration in major depression. Enhanced CRH secretion is also believed to contribute to the typical sleep alterations and the clinical presentation of major depression. While it is acknowledged that HPA overdrive and hypernoradrenergic function is associated with melancholic depression, there is growing evidence that hypoactivity of the HPA axis and afferent noradrenergic pathways is present in patients with atypical features of depression. The clinical relevance of such a differentiation is highlighted by findings which suggest distinct responses to pharmacological treatments. Moreover, it has been reported that female patients respond better to selective serotonin re-uptake inhibitors (SSRI) than tricyclic antidepressants. Interestingly, the female predominance among patients with depression seems to be restricted to the atypical subtype. Besides HPA axis activity, distinct alterations of the serotonergic system may also play a critical role for the melancholic and atypical phenotypes, namely a reduced restrained via 5-HT(1A) autoreceptors in the former and primarily reduced serotonin synthesis in the latter. Moreover, there is evidence for an immune activation in patients with depression, the extent and duration of which may be distinguishable for the melancholic and the atypical subtype. In this regard, lessons can be learned from depressive symptoms in patients with autoimmune disease, associated with different alterations of the HPA axis, and in patients undergoing cytokine therapy. In conclusion, the available data today suggest that clinically relevant differences in the underlying pathophysiology in patients with depression exist. The identification of distinct endophenotypes for major depression will not only improve our understanding of the disease, but will also contribute to more specific treatment strategies.