Major depressive disorder and treatment-resistant depression are significant worldwide health problems that need new therapies. The success of the anesthetic ketamine as an antidepressant is well known. It is less widely known that several other anesthetic agents have also shown antidepressant effects. These include nitrous oxide, propofol, isoflurane, sevoflurane, dexmedetomidine, and xenon. We review clinical and basic science investigations that have studied the therapeutic value of these anesthetics for treating depression. We propose potential neurophysiological mechanisms underlying the antidepressant effects of anesthetics by combining our understanding of how anesthetics modulate brain dynamics to alter arousal states, current theories of depression pathophysiology, and findings from other depression treatment modalities.