Major depressive disorder, one of the most common psychiatric disorders and leading cause of disability worldwide, presents itself through low mood, anhedonia, fatigue, loss of appetite and libido affecting fundamental biological processes and drastically lowering patients’ quality of life. Recognized shortcomings of popular serotonergic dysfunction and over secretion of cortisol in explaining depression encouraged research into the unknown processes of depression etiology. Newer connections between inflammation and depression show great potential in presenting the missing puzzle pieces of, to this day, unsolved pathophysiology of depression. Inducing inflammation in laboratory animals leads to manifestation of sickness behavior and INF-α treatments used in human patients with hepatitis C leads to patients exhibiting major symptoms of depression. Complicated interplay of cytokines, neurotransmitters, stress response and other factors included in inflammation impose a conclusion of inflammation having a great role in depression in spite of sometimes contradictory results. In patients with acute and chronic depression increased levels of proinflammatory cytokines (IL-1, IL-6, TNF-α) are regularly found in blood serum and cerebrospinal fluid. The connection between inflammation and depression can be translated to other psychiatric diseases such as schizophrenia, bipolar disorder and Alzheimer’s disease. Therefore, the insights from immunology can be used in developing new therapeutic approaches in treating depression.