Major depression is associated with a fourfold increased risk of dying young, largely from cardiovascular diseases (CVDs). It is hypothesized that the relationship between depression and cardiovascular disease might be mediated via the so-called metabolic syndrome (MeS or MetS). Metabolic syndrome components include obesity, dyslipidemia, insulin resistance, and hypertension that are all related to depression, according to several epidemiological data. Although the precise relationships between MeS and depression remain uncertain, some explanations have been proposed. On the one hand, MeS may be the result of poor lifestyles. On the other hand, MeS and depression share common abnormalities at the level of the hypothalamus-pituitary-adrenal (HPA) axis, the autonomic nervous system, immune system, and platelet and endothelial functions. Indeed, both MeS and depression conditions show a low-grade chronic inflammation that may cause endothelium, pancreatic cells, and neurons to be more vulnerable to oxidative and nitrosative (O&NS) toxicity. A recent study suggests that peripheral hormones like leptin and ghrelin that are engaged in homeostasis and energy balance, may also play a part in the control of mood. Therefore, the metabolic risk of depressed patients should be frequently assessed in order to make proper therapeutic decisions. Again, new antidepressant medications should potentially target peripheral mediators like cytokines and their receptors, glucocorticoid receptors, O&NS pathways, and intracellular inflammatory mediators.