Malassezia yeasts are commensal microorganisms occurring on the skin of humans and animals causing dermatological disorders or systemic infections in severely immunocompromised hosts. Despite attempts to control such yeast infections with topical and systemic antifungals, recurrence of clinical signs of skin infections as well as treatment failure in preventing or treating Malassezia furfur fungemia have been reported most likely due to wrong management of these infections (e.g., due to early termination of treatment) or due to the occurrence of resistant phenomena. Standardized methods for in vitro antifungal susceptibility tests of these yeasts are still lacking, thus resulting in variable susceptibility profiles to azoles among Malassezia spp. and a lack of clinical breakpoints. The inherent limitations to the current pharmacological treatments for Malassezia infections both in humans and animals, stimulated the interest of the scientific community to discover new, effective antifungal drugs or substances to treat these infections. In this review, data about the in vivo and in vitro antifungal activity of the most commonly employed drugs (i.e., azoles, polyenes, allylamines, and echinocandins) against Malassezia yeasts, with a focus on human bloodstream infections, are summarized and their clinical implications are discussed. In addition, the usefulness of alternative compounds is discussed.