Although it is clear that genetic factors are involved [heritability estimates from twin studies are reported to be 37%–38% (Kendler et al., 2006; Sullivan et al., 2000)], environmental factors such as stress are strongly implicated in the pathology of depression (Kessler, 1997). Levels of stress have increased with growing social and economic demands in recent decades, resulting in a rapid rise in the prevalence of depression (Kessler et al., 2003). Here, we discuss evidence that psychological, as well as physical stressors can activate immune and inflammation processes and lead to increased cytokine levels, contributing to structural and functional alterations of neurons and the development of MDD.