Major depressive disorder is among the most frequently diagnosed mental disorders and is often accompanied by other disorders such as anxiety or substance abuse. As a result of a complicated tangle of comorbidities, psychotherapy in such cases can become quite demanding. The present case study presents and discusses the challenges represented by a complex case of psychotherapy, focusing on ongoing modifications of the clinical hypotheses and therapeutic approach. This process is illustrated through the case of Andy, a 44-year-old man suffering from depressive disorder, social phobia, substance dependency, and an avoidant personality disorder. This case draws attention to the quality of the relationship and the flexibility and adaptation required from the therapist while depicting an integrative way of working therapeutically with complex cases.