Many patients with depression cannot be brought into a state of sustained symptom remission. Sometimes called “treatment resistant” depression, they may be better understood as “difficult to treat depressions” (DTD) because this clinical heuristic promotes the search for treatable pharmacological, psychosocial, and biological/medical obstacles to achieving or sustaining remission. Furthermore, the DTD heuristic recognizes that some depressions may be better managed by optimizing symptom control, quality of life, and daily function, rather than by conducting multiple revisions in treatment from which little, longer-term benefit may be expected. The clinical challenges (e.g., selecting assessments for treatable causes; identifying treatment sequences for specific patients) as well as the research challenges (e.g., defining types of DTD; assessing outcomes) are discussed.