There is an urgent need for novel fast-acting antidepressants for adolescent treatment-resistant depression and/or suicidal risk, since the selective serotonin reuptake inhibitors that are clinically approved for that age (i.e., fluoxetine or escitalopram) take weeks to work. In this context, one of the main research lines of our group is to characterize at the preclinical level novel approaches for rapid-acting antidepressants for adolescence. The present review summarizes the potential use in adolescence of non-pharmacological options, such as neuromodulators (electroconvulsive therapy and other innovative types of brain stimulation), as well as pharmacological options, including consciousness-altering drugs (mainly ketamine but also classical psychedelics) and cannabinoids (i.e., cannabidiol), with promising fast-acting responses. Following a brief analytical explanation of adolescent depression, we present a general introduction for each therapeutical approach together with the clinical evidence supporting its potential beneficial use in adolescence (mainly extrapolated from prior successful examples for adults), to then report recent and/or ongoing preclinical studies that will aid in improving the inclusion of these therapies in the clinic, by considering potential sex-, age-, and dose-related differences, and/or other factors that might affect efficacy or long-term safety. Finally, we conclude the review by providing future avenues to maximize treatment response, including the need for more clinical studies and the importance of designing and/or testing novel treatment options that are safe and fast-acting for adolescent depression.