Major depressive disorder (MDD) is a common mental health disorder with a complex pathogenesis and course, influenced by various factors. Increasing evidence implicates chronic inflammation in its onset, persistence, and treatment resistance. Observations from patients receiving cytokine-based therapies for cancer or hepatitis C, particularly interferon-alpha (IFN-α), which induces depression in up to 40% of cases, highlight the immune system’s role. These clinical observations have led research into immune dysregulation as a central feature of depression, supported by findings of elevated pro-inflammatory cytokines in individuals with depression. Beyond cytokine imbalances, MDD involves broader physiological disruptions, including neuroinflammation, gut microbiota alterations, hypothalamic–pituitary–adrenal (HPA) axis dysfunction, and oxidative stress. These systems interact dynamically with psychosocial stressors, exacerbating vulnerability to depression. Although current antidepressant therapies primarily target monoaminergic pathways, their limited efficacy for many patients underscores the need for alternative strategies. Notably, some antidepressants exhibit immunomodulatory properties, reducing pro-inflammatory cytokines and promoting anti-inflammatory responses, potentially contributing to their therapeutic effects. This chapter synthesizes preclinical and clinical findings to elucidate the multifaceted role of immune signaling in MDD. It explores the bidirectional relationships between inflammation and neurotransmitter function, the modulation of immune activity by the central nervous system (CNS), and the role of systemic stress responses in perpetuating depressive symptoms. Additionally, the chapter reviews emerging pharmacological and non-pharmacological interventions that target inflammation, including biologics, lifestyle modifications, and gut–brain axis modulators. By examining the immune–CNS interface, this chapter aims to inform the development of biomarkers and integrative treatment approaches that combine traditional antidepressants with novel anti-inflammatory strategies, paving the way for more personalized and effective care for individuals with depression.