High levels of several proinflammatory components of the immune system, such as interleukin-6, C-reactive protein, tumor necrosis factor (TNF)-α, or neopterin in patients suffering from major depression (MD) point to the involvement of an inflammatory process in the pathophysiology of MD. The direct and indirect effects of cytokines on neurotransmitter storage and release - mediated by microglia cells and astrocytes - are discussed. The tryptophan/kynurenine metabolism is one of the indirect mechanisms because the enzyme indoleamine 2,3-dioxygenase - a key enzyme of this metabolism in the central nervous system - is driven by pro- and anti-inflammatory cytokines and degrades serotonin. Moreover, neuroactive kynurenines such as kynurenic acid and quinolinic acid act on the glutamatergic neurotransmission as N-methyl-D-aspartate antagonists and agonists, respectively. Alterations of the serotonergic, noradrenergic and glutamatergic neurotransmission have been shown with low-level neuroinflammation and may be involved in symptom generation. Epidemiological and clinical studies show a role for inflammation as a risk factor for MD. A large-scale epidemiological study in MD clearly demonstrates that severe infections and autoimmune disorders are lifetime risk factors for MD. The vulnerability-stress-inflammation model matches with this view as stress may increase proinflammatory cytokines and even contribute to a lasting proinflammatory state. Further support comes from the therapeutic benefit of anti-inflammatory medications such as the cyclo-oxygenase-2 inhibitors, TNF-α antagonists and others, and the anti-inflammatory and immunomodulatory intrinsic effects of antidepressants.