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The inflammation theory of depression, proposed over 20 years ago, was influenced by early studies on T cell responses and since then has been a stimulus for numerous research projects aimed at understanding the relationship between immune function and depression. Observational studies have shown that indicators of immunity, especially C reactive protein and proinflammatory cytokines, such as interleukin 6, are associated with an increased risk of depressive disorders, although the evidence from randomized trials remains limited and only few studies have assessed the interplay between innate and adaptive immunity in depression. In this paper, we review current knowledge on the interactions between central and peripheral innate and adaptive immune molecules and the potential role of immune-related activation of microglia, inflammasomes and indoleamine-2,3-dioxygenase in the development of depressive symptoms. We highlight how combining basic immune methods with more advanced ‘omics’ technologies would help us to make progress in unravelling the complex associations between altered immune function and depressive disorders, in the identification of depression-specific biomarkers and in developing immunotherapeutic treatment strategies that take individual variability into account. [ABSTRACT FROM AUTHOR]