Major Depressive Disorder (MDD) represents a significant societal burden, with traditional first-line treatments often falling short. This pressing issue has spurred the exploration of neuromodulation therapies, demonstrating superior efficacy compared to conventional pharmaceutical interventions. The present review provides a rigorous evaluation of four advanced neuromodulation techniques: Focal Electrically Administered Seizure Therapy (FEAST), Transcranial Magnetic Stimulation (TMS), Intermittent Theta-Burst Stimulation (iTBS), and Magnetic Seizure Therapy (MST). A comprehensive analytical comparison is offered, focusing on their efficacy, feasibility, economic considerations, and underlying mechanisms. Among these therapies, iTBS, integrated with Brain-Computer Interface (BCI) systems, has emerged as notably effective, with clinical trials indicating an average 80% efficacy at a reduced economic cost. FEAST and MST, supported by recent research, also exhibit strong efficacy, around 60%, although with more pronounced side effects. TMS, in contrast, exhibits a slightly reduced efficacy but is promising due to its minimal side effects. The review further delves into the transformative role of increasingly sophisticated BCI technologies in addressing previously identified challenges of neuromodulation therapy, such as adverse side effects, time-consuming procedures, and high costs. These technological advancements are elucidated, emphasizing their contribution to more precise therapy delivery and an enhanced patient experience. The review culminates in illuminating a pathway for the harmonious integration of neuromodulation therapies with traditional psychopharmacological treatments, positioning this integrative approach as a groundbreaking paradigm poised to redefine the landscape of depression treatment.