Major depression is increasingly recognized to be a chronic and highly recurrent condition, which results in significantly increased health problems. One possible mechanism that may contribute to treatment resistance is increased production and release of chemicals called proinflammatory cytokines in patients with major depression. These chemicals mediate the body's response to infectious agents like bacteria and have been shown to be increased by psychological stress. They produce the symptoms that we associate with being sick, including fever, malaise and changes in sleep and appetite. Several lines of evidence indicate that proinflammatory cytokines may contribute to the development of major depression and may thus represent a novel target for the pharmacological treatment of the disorder.||The TNF-alpha antagonist, Infliximab (Remicade®), is an infusion style drug approved by the FDA for the treatment of inflammatory conditions like Crohns disease and rheumatoid arthritis. The researchers are conducting a study to see if the infliximab (Remicade®) is more effective than placebo in acutely reducing symptoms of depression in patients who have elevated proinflammatory markers and have not responded to, or been unable to tolerate, at least two previous treatments in the current depressive episode. Proinflammatory markers are measured by a simple blood test for C-Reactive Protein (CRP) levels in the body.||After appropriate screening to determine eligibility, 64 subjects with treatment resistant depression will be randomized to receive three infusions of either infliximab (Remicade®) or placebo (salt water) in the Emory Infliximab Infusion Center in the Division of Digestive Diseases, Emory University School of Medicine. Subjects will be followed for 12 weeks with evaluations at weeks 0 (baseline), 1, 2, 3, 4, 6, 8, 10 and 12. The first infliximab (Remicade®) infusion will occur at the first (Baseline) visit. The second infusion will occur at Study Week 2 (the third visit). The third infusion will occur at Study Week 6 (Visit 6). The choice of three infusions, and the infusion schedule, is based on current recommendations for the use of infliximab (Remicade®) in conditions for which it has received FDA approval. Subjects will be evaluated for twelve weeks by trained clinicians for changes in depression symptoms and improvements in quality of life. In addition, a physician will evaluate subjects each visit to make sure they are remaining healthy. Blood will be drawn at baseline prior to infusion and all subsequent visits to check labs for safety but also to evaluate potential relationships between changes in inflammatory activity and therapeutic response. After Study Week 12, participants will be monitored by phone, every 4 weeks during the 22-Week Post Study Follow-up Phase to assess physical and psychiatric symptoms in the period following the final infusion. At the baseline and Week 8 visits, subjects will be admitted to the Atlanta Clinical Translational Science Institute (ACTSI), a research unit in the Emory Hospital, for an extended evaluation. The purpose of coming to the ACTSI will be for researchers to evaluate whether treatment with infliximab improves endocrine function, inflammation, sleep and thinking abilities in people who are depressed. For all other visits (Week 1, 2, 4, 6, 10 and 12), participants will come for an office visit in the Winship Cancer Institute.