Heterogeneity in response to conventional antidepressants is a well-recognized limitation of evidence-based pharmacological treatments of major depressive disorder (MDD). Abnormal activation of inflammatory pathways is postulated as one likely mechanism contributing to treatment resistance in MDD. In a subset of depressed patients, the balance between pro- and anti-inflammatory cytokines is thought to be altered, causing mood symptoms due to inflammation, as seen in co-morbid depression associated with inflammatory conditions (e.g. psoriasis, hepatitis C, inflammatory bowel disease, rheumatoid arthritis, ankylosing spondylitis). The objectives of the current narrative review are to critically evaluate the literature about the effects of cytokine blockers on clinical outcomes in MDD and in the reduction of depressive symptom severity in individuals using these medications primarily to treat inflammatory conditions. A small number of clinical trials assessing the effects of cytokine blockers for depression and depressive symptoms have been completed. These trials suggest that in individuals with immune dysfunction (e.g. elevated pro-inflammatory cytokine levels), cytokine blockers may allow for improved clinical outcomes in MDD that would not be achievable with current conventional antidepressants alone. Additional well-designed clinical trials to assess the clinical utility of anti-inflammatory medications for the treatment of depression and depressive symptoms are merited. Further, the use of anti-inflammatories show promise for disease modifying effects that may alter illness trajectory, rather than solely ameliorating current mood symptoms.