Depressive episodes or symptoms occur frequently in patients with schizophrenia and may have far-reaching consequences. Despite the high prevalence rate and clinical relevance of this comorbidity, knowledge about treatment options is still limited. The aim of this review is to provide an overview of the literature concerning treatment options for depressive episodes or symptoms in schizophrenia. Based on the current evidence, we present a stepwise treatment approach. The first step is to evaluate the current antipsychotic treatment of psychotic symptoms and consider lowering the dosage, since increased blockade of the dopamine D2 receptors may be associated with a worse subjective sense of well-being and dysphoria. A second step is to consider switching antipsychotics, since there are indications that some antipsychotics (including sulpiride, clozapine, olanzapine, aripiprazole, quetiapine, lurasidone, or amisulpride) are slightly more effective in reducing depressive symptoms compared to other antipsychotics or placebo. In the case of a persistent depressive episode, additional therapeutic interventions are indicated. However, the evidence is indecisive regarding the treatment of choice: either starting cognitive-behavioral therapy or adding an antidepressant. A limited number of studies examined the use of antidepressants in depressed patients with schizophrenia showing modest effectiveness. Overall, additional research is needed to determine the most effective treatment approach for patients with schizophrenia and depressive episodes.