Depression is a common and serious mental health disorder that negatively affects how you feel, think, and act. It causes feelings of sadness and/or a loss of interest in activities once enjoyed. Depression can lead to various emotional and physical problems and can decrease a person’s ability to function at work and at home. The immune functions play important and complex roles with depression patients. Knowledge Graphs have become an important AI approach to integrating various types of complex knowledge and data resources. It provides a basic integration foundation of knowledge and data concerning depression for a comprehensive analysis. In this paper, we show that how Knowledge Graphs can be used for exploring the relations between depression and immune functions by the literature mining and gain a comprehensive analysis on the problems of depression patients. Furthermore, we provide several clinical case studies with the finding of the immune functions of depression patients.