Major depression (MD) is one of the most common psychiatric disorders worldwide. Currently, the first-line treatment for MD targets the serotonin system but these drugs, notably the selective serotonin reuptake inhibitors, usually need 4 to 6 weeks before the benefit is felt and a significant proportion of patients shows an unsatisfactory response. Numerous treatments have been developed to circumvent these issues as venlafaxine, a mixed serotonin-norepinephrine reuptake inhibitor that binds and blocks both the SERT and NET transporters. Despite this pharmacological profile, it is difficult to have a valuable insight into its ability to produce more robust efficacy than single-acting agents. In this review, we provide an in-depth characterization of the pharmacological properties of venlafaxine from in vitro data to preclinical and clinical efficacy in depressed patients and animal models of depression to propose an indirect comparison with the most common antidepressants. Preclinical studies show that the antidepressant effect of venlafaxine is often associated with an enhancement of serotonergic neurotransmission at low doses. High doses of venlafaxine, which elicit a concomitant increase in 5-HT and NE tone, is associated with changes in different forms of plasticity in discrete brain areas. In particular, the hippocampus appears to play a crucial role in venlafaxine-mediated antidepressant effects notably by regulating processes such as adult hippocampal neurogenesis or the excitatory/inhibitory balance. Overall, depending on the dose used, venlafaxine shows a high efficacy on depressive-like symptoms in relevant animal models but to the same extent as common antidepressants. However, these data are counterbalanced by a lower tolerance. In conclusion, venlafaxine appears to be one of the most effective treatments for treatment of major depression. Still, direct comparative studies are warranted to provide definitive conclusions about its superiority.