Major depression with psychotic features (PMD) is not only characterised by certain symptoms such as delusions or hallucinations. In comparison with non-psychotic major depression clinical manifestations, course of disease, etiological and epidemiological traits show some distinctive features. The course of PMD is more severe in terms of symptomatology, tendency to recurrence, residual symptoms, duration of episodes, overall impairment, comorbidities and mortality. In this paper, data on epidemiology, course, symptoms, neurobiology and treatment options are discussed to shed light on the question if PMD can be considered a distinct entity of mental illness and if it should be placed somewhere in the range of a putative "schizoaffective continuum".