Major depressive disorder (MDD) is the most common psychiatric disease and it affects millions of people across the world. Patients suffering from MDD consistently complain about cognitive disturbances, significantly worsening the burden of this illness. The second most frequent mental illness in Europe is mood disorders and they are dominated by MDD, affecting 7% of the population. The recent discovery that the N-methyl-D-aspartate receptor (NMDAR) antagonist; ketamine; a revolutionary novel antidepressant, rapidly relieves depressive symptoms and suicidal imaginations, particularly amongst those with treatment-resistant depression have generated a new wave of excitement. This article discusses the sex differences that exist in depressive patients, summarizes the antidepressant activity of ketamine and reviews the mechanisms underlying the rapid antidepressant effects of ketamine. It further discusses the sexual differences in the antidepressant activity of ketamine in preclinical studies.