There's a large body of data that's pretty clear that T3 augmentation is safe and effective. We're talking about a natural hormone here and we're just pushing free T3 levels to the upper limit of normal (or slightly above).
I like to augment with Cytomel if the TSH is >4, especially if the depression is accompanied by hypothyroid symptoms, i.e. fat, fatigued, constipated, hair falling out, etc. I've found it especially effective for pts who have a normal TSH and free T4 but a low free T3.
I start with 25 mcg and when that is tolerated bump it up to 50 mcg. I have had a couple pt's develop mild anxiety and tremor at 50, which resolves after decreasing to 37.5.
Synthroid can also work but has a longer time to steady state and also negatively feeds back to the pituitary, whereas T3 does not for whatever reason. Also, I believe there are some patients who may have some type of enzymatic conversion problem from T4 to T3 (hence pts with only a low FT3 as mentioned above) and in this population giving Synthroid wouldn't make sense. Plus, all the psychiatric research is using Cytomel.
I've found the biggest problem with using thyroid augmentation is trying to explain what you're doing to the patient's PMD. But I think as physicians we should not be intimidated from using effective evidence based treatments for our patients just because they may be perceived as the purview of other specialties. Psychiatric symptoms are frequently the initial presentation of endocrine disorders.