Mental health researchers and clinicians have long sought answers to the question “What works for whom?” The goal of precision medicine is to provide evidence-based answers to this question. Treatment selection in depression aims to help each individual receive the treatment, among the available options, that is most likely to lead to a positive outcome for them. Although patient variables that are predictive of response to treatment have been identified, this knowledge has not yet translated into real-world treatment recommendations. The Personalized Advantage Index (PAI) and related approaches combine information obtained prior to the initiation of treatment into multivariable prediction models that can generate individualized predictions to help clinicians and patients select the right treatment. With increasing availability of advanced statistical modeling approaches, as well as novel predictive variables and big data, treatment selection models promise to contribute to improved outcomes in depression.