The Journal Phytomedicine published the study Rhodiola rosea versus sertraline for major depressive disorder: A randomized placebo-controlled trial earlier this year. In the trial it was found that for mild to moderate depression Rhodiola was slightly less effective than sertraline and both were not that different from placebo. In addition, there was a much higher rate of adverse effects with sertraline (63.2%) over Rhodiola (30.0%). Read a full analysis of the study at Natural Medicine Journal, Rhodiola Rosea vs Sertraline for Major Depression.
Rhodiola is known to affect several body systems including the cardiovascular, central nervous and reproductive and has adaptogenic, anti-stress, neuroendocrine and antioxidant effects. Read Rhodiola rosea: A Phytomedicinal Overview by The American Botanical Council for an in depth look at it. It is an excellent article.
David Winston mentions it is useful in cardiovascular-based depression in his article Differential Treatment of Depression and Anxiety with Botanical and Nutritional Medicines and for deficiency insomnia in his article Botanical/Nutritional Protocols For Insomnia and Other Sleep Disorders.