Depression represents a major public health problem. It is estimated that 13–20% of the population has some depressive symptoms at any given time and about 5% of the population is assumed to suffer from major depression. Known pathological processes include ischemia, neoplasia, necrosis, apoptosis, infection, and inflammation. Of those, inflammation is the most compatible with the waxing and waning course of depression, and could explain the biology of this disorder that has a fluctuating course with severe episodes that can be followed by partial or complete remission. Over the years a body of evidence has been accumulated suggesting that major depression is associated with dysfunction of inflammatory mediators. Major depression commonly co-occurs with ischemic heart disease and decreased bone mineral density. Depressive symptoms are known to have a negative impact on cardiovascular prognosis, increasing the mortality rate of coronary artery disease. Several lines of evidence indicate that brain cytokines, principally interleukin-1β (IL-1β) and IL-1 receptor antagonist may have a role in the biology of major depression, and that they might additionally be involved in the pathophysiology and somatic consequences of depression as well as in the effects of antidepressant treatment. A particularly unique and novel aspect of the studies and views discussed here is their potential to lead to interventions which may reduce the morbidity and mortality risks for osteoporosis, cardiovascular disease, and behavioral symptoms in patients with major depression. We also discuss the emerging concept of peripheral and central cytokine compartments: their integration and differential regulation is a key element for the optimal functioning of the immune and nervous systems.