Depression, one of the most common mental health disorders, is among the leading causes of health-related disability worldwide. Although antidepressant treatment has been available for decades, depression remains largely refractory to the prevailing limited treatment approach of monoamine transmission modulation. Fortunately, recent evidence points to a link between depression and inflammatory factors within the innate and the adaptive immune system. The purpose of this review is to evaluate current and potential clinical immunotherapies for depression, as contextually focused by an immunologic lens of the pathophysiologic mechanisms of depression. The utility of pro-inflammatory cytokines (primarily interleukin-1β, interleukin -6 and tumor necrosis factor-α) is considered in their role as screening biomarkers in prediction of treatment response or nonresponse. The evidence base of numerous recent clinical studies is discussed as related to their antidepressant efficacy and favorable safety profile, with consideration of multiple agents that target inflammatory mechanisms linked to depression including nonsteroidal anti-inflammatory pathways (i.e., aspirin, celecoxib), cytokine antagonism (i.e., etanercept, infliximab), N-methyl-D-aspartate receptor (NMDA) receptor antagonism (i.e., ketamine), and modulation of kynurenine pathways (i.e., minocycline). Additionally, new and exciting directions in targeting inflammatory mechanisms in the treatment of depression are underway, and future investigation is also warranted to explore the utility of inflammation in diagnosing depression, guiding clinical treatment decision-making, and monitoring disease burden and relapse risk.