Antidepressants effectiveness in major depressive disorder (MDD) is still questioned because the extrapolation of randomized controlled trial (RCT) results to “real life” settings is problematic. The application of the RCT paradigm in a disorder of this type, where global care plays a central role, raises questions regarding the internal and external validity of this type of study. Outcome measurement, attrition rates, the ability of the double-blind design to control for expectations, placebo response, the representativeness of trial participants and publication bias are major methodological pitfalls. This review discusses these issues. It is illustrated using original data and proposes some alternatives for assessing antidepressant effectiveness via different approaches. Some are easy to implement, such as ecological measures, qualitative approaches, improvement of analytical strategy and improvement of blinding procedures. Some are sophisticated, involving temporary deception to deal with the confounding effect of expectations, and they raise ethical issues. Others resort to external validity, this being the case in observational studies. But all are necessary to explore antidepressant effectiveness. Copyright © 2013 John Wiley & Sons, Ltd.