Depression is a wide-spread, debilitating psychiatric disorder. Mainly rodent-based, experimental animal models of depression are extensively used to probe the pathogenesis of this disorder. Here, we emphasize the need for innovative approaches to studying depression, and call for a wider use of novel model organisms, such as the zebrafish (Danio rerio), in this field. Highly homologous to humans and rodents, zebrafish are rapidly becoming a valuable tool in translational neuroscience research, but have only recently been utilized in depression research. Multiple conceptual and methodological problems, however, arise in relation to separating putative zebrafish depression-like states from motor and social deficits or anxiety. Here, we examine recent findings and the existing challenges in this field, to encourage further research and the use of zebrafish as novel organisms in cross-species depression modeling.