Symptom profiles, etiology and course trajectories of Major Depressive Disorder (MDD) are heterogeneous. This heterogeneity is hampering scientific research and is limiting effectiveness of therapeutic interventions. The goal of precision medicine is to tailor medical treatment to the individual characteristics of each patient. In order to implement precision medicine in depression care, it is essential to better understand what the driving factors are behind MDD’s heterogeneity. However, examining MDD’s heterogeneity is no sinecure, and there are various different ways to start such scientific explorations. One could start with data-driven or hypothesis-driven approaches, one could start with a focus on the heterogeneity at the symptom level, the environment level or the pathophysiology level. Ideally, whatever the starting point is should not matter and results of different starting points should synchronize. Using several different analytical approaches, our research group has illustrated the distinction of immunometabolic depression as a potentially useful subtype of depression.