Depression results from changes in the central nervous system (CNS) that may result from immunological abnormalities. The immune system affects the CNS through cytokines, which regulate brain activities and emotions. Cytokines affect two biological systems that are most associated with the pathophysiology of depression: The hypothalamic-pituitary-adrenal axis and the catecholamine/sympathetic nervous system. Neuroinflammation and cytokines affect the brain signal patterns involved in the psychopathology of depression and the mechanisms of antidepressants, and they are associated with neurogenesis and neural plasticity. These observations suggest that neuroinflammation and cytokines might cause and/or maintain depression, and that they might be useful in the diagnosis and prognosis of depression. This psychoneuroimmunologic perspective might compensate for some of the limitations of the monoamine theory by suggesting that depression is a result of a failure to adapt to stress and that inflammatory responses and cytokines are involved in this process. In this review, the interactions of cytokines with the CNS, neuroendocrine system, neurotransmitters, neurodegeneration/neurogenesis, and antidepressants are discussed. The roles of cytokines in the etiology and psychopathology of depression are examined. The use of cytokine inhibitors or anti-inflammatory drugs in depression treatment is explored. Finally, the significance and limitations of the cytokine hypothesis are discussed.