Crosstalk between inflammatory pathways and neurocircuits in the brain can lead to behavioural responses, such as avoidance and alarm, that are likely to have provided early humans with an evolutionary advantage in their interactions with pathogens and predators. However, in modern times, such interactions between inflammation and the brain appear to drive the development of depression and may contribute to non-responsiveness to current antidepressant therapies. Recent data have elucidated the mechanisms by which the innate and adaptive immune systems interact with neurotransmitters and neurocircuits to influence the risk for depression. Here, we detail our current understanding of these pathways and discuss the therapeutic potential of targeting the immune system to treat depression.