Depression is one of the most prevalent and disabling non-motor symptoms of Parkinson’s disease (PD), yet current treatments remain suboptimal, with many patients experiencing incomplete response to standard antidepressants. Growing evidence highlights the need for multimodal approaches addressing the complex neurobiological mechanisms underlying PD and its associated mood disturbances. This review examines the potential of three emerging interventions—vortioxetine, hyperbaric oxygen therapy (HBOT), and structured physical exercise—as complementary or alternative strategies for PD-related depression. These approaches were selected for their ability to target distinct complementary pathophysiological mechanisms in PD and depression, including serotonergic dysfunction, impaired neuroplasticity, neuroinflammation, oxidative stress, and mitochondrial dysfunction. Acting at different biological levels—pharmacological modulation (vortioxetine), physiological regulation (HBOT), and systemic behavioral adaptation (exercise)—these interventions provide a framework for a multimodal strategy. Vortioxetine, a multimodal serotonergic agent with pro-cognitive and neuroplastic effects, shows promise for patients unresponsive to traditional antidepressants, with preclinical and clinical findings suggesting benefits on mood, cognition, and neurobiological resilience. HBOT modulates inflammation, oxidative stress, and tissue oxygenation, demonstrating neuroprotective and antidepressant effects in neurological conditions and PD models, although clinical evidence in PD-related depression remains limited. Physical exercise emerges as the most empirically supported non-pharmacological intervention, consistently improving depressive symptoms, motor function, and quality of life, while demonstrating potential disease-modifying properties. Integrating these innovative approaches may offer a more comprehensive strategy for managing depression in PD, improving outcomes and modifying disease trajectory. This review analyzes understanding of these emerging multimodal interventions as a new paradigm for addressing depression in PD.