Anhedonia is the inability to experience pleasure, often accompanying major depressive disorder (MDE) and schizophrenia. Despite growing interest in this issue in recent years, anhedonia continues to pose a challenge for both patients and clinicians. In recent years, it has been established that the mechanism leading to the development of anhedonia involves a variety of processes within the dopaminergic system. Despite the existence of a number of scales commonly used in the diagnosis of this symptom, such as the Snaith-Hamilton Pleasure Scale (SHAPS) and the Temporal Experience of Pleasure Scale (TEPS), the diagnosis should not be made solely on the basis of these scales without a comprehensive psychiatric examination. Anhedonia also poses a therapeutic challenge and is associated with a poorer response to classic treatments for depression and schizophrenia. Combination therapy with glutamatergic drugs, kappa opioid receptor (KOR) antagonists, or KCNQ channel activators, as well as neurostimulation and psychotherapy, offer great hope. The key to selecting an effective treatment is to identify the components of anhedonia as accurately as possible and to understand the exact functioning of the reward system. This article aims to review the causes, diagnosis, and treatment of anhedonia (loss of pleasure) in depressive disorders and schizophrenia.