Approximately one-third of individuals in a major depressive episode will not achieve sustained remission despite multiple, well-delivered treatments. These patients experience prolonged suffering and disproportionately utilize mental and general health care resources. The recently proposed clinical heuristic of ‘difficult-to-treat depression’ (DTD) aims to broaden our understanding and focus attention on the identification, clinical management, treatment selection, and outcomes of such individuals. Clinical trial methodologies developed to detect short-term therapeutic effects in treatment-responsive populations may not be appropriate in DTD. This report reviews three essential challenges for clinical intervention research in DTD: (1) how to define and subtype this heterogeneous group of patients; (2) how, when, and by what methods to select, acquire, compile, and interpret clinically meaningful outcome metrics; and (3) how to choose among alternative clinical trial design options to promote causal inference and generalizability. The boundaries of DTD are uncertain, and an evidence-based taxonomy and reliable assessment tools are preconditions for clinical research and subtyping. Traditional outcome metrics in treatment-responsive depression may not apply to DTD, as they largely reflect the only short-term symptomatic change and do not incorporate durability of benefit, side effect burden, or sustained impact on quality of life or daily function. The trial methodology will also require modification as trials will likely be of longer duration to examine the sustained impact, raising complex issues regarding control group selection, blinding and its integrity, and concomitant treatments.