Depression is known to be associated with inflammation among patients with established coronary heart disease (CHD), but it is unclear whether this is due to individual depression symptoms or to the broader construct of depression. We addressed this gap by using moderated non-linear factor analysis (MNLFA) to determine the extent that inflammation is associated with latent depression and/or individual symptoms in this patient group. We evaluated 1,024 outpatients with stable CHD from the baseline cross-sectional data of the Heart and Soul Study. Depression was assessed using the 9-item Patient Health Questionnaire, while inflammation was evaluated via C-reactive protein (CRP), interleukin-6 (IL-6), tumor necrosis factor-alpha (TNF-α), and monocyte chemoattractant protein-1 (MCP-1) levels. MNLFA is based on the concept of model parameter moderation with regard to individual characteristics. Using the MNLFA approach, we simultaneously tested for differences in (1) latent depression, (2) individual depression items, and (3) the factor loading of the item on latent depression as a function of inflammatory markers, with and without covariate adjustment. Higher TNF-α levels were associated with both higher levels of a latent depression factor and greater endorsement of an individual symptom (appetite changes). Increased CRP levels were significantly associated with greater appetite changes, lower concentration difficulty, and greater fatigue. Elevated IL-6 levels were only related to greater fatigue, while increased MCP-1 levels were linked to greater sleep disturbance. After adjusting for covariates, some associations became insignificant. Inflammatory markers were not consistent predictors of factor loadings. This study represents the initial step to discussing how inflammation biology is truly related to depression among patients with established CHD.