Mounting data of evidence that have emerged during the last twenty years, point towards the existence of an inflammatory mechanism underlying the pathophysiology of depressive disorder. These data have inspired a number of clinical studies characterized by the administration of inflammatory response altering medication in addition to conventional medication in depressive disorder patients. The drugs were either Non Steroid Anti-inflammatory Drugs (NSAIDs) or Tumor Necrosis Factor-alpha (TNFa) inhibitors and were selected among those that are already in use for various diseases related to the immune system. The choice of these specific immunomodulatory agents for the co-administration with conventional antidepressive medication was based on a number of laboratory data and clinical evidence. A total of seven relevant clinical trials have been conducted, all of them with promising results that have been published between 2006 and 2013. However, only four out of them were eligibly designed regarding the homogeneity of the study groups, randomization, double-blinding and placebo controlling. These three studies showed clinical advantages of the adjunctive medication as estimated by significant drops in Hamilton scores. Of interest are the findings of the most recent and largest clinical trial of the TNF-a antagonist infliximab which show that treatment with anti-inflammatory agents may be beneficial only in depressive patients with raised levels of baseline inflammatory markers. A limitation of the studies was that, since no guidelines currently exist for anti-inflammatory agents and depression, adjunctive medication could have been under or overdosed. Other limitations were the follow-up period that was rather small and the number of the participants that was also small. Recently, a lot of progress has been made in identifying therapeutic targets along metabolic pathways in the brain relevant to depression, which could be manipulated by immune mediators. In fact, tryptophan -the precursor of serotonin- metabolism appears as an important field of cross reactions between immune and neurochemical mediators and, elucidating it might contribute in new therapeutic strategies. Future clinical trials, eligibly designed, should include the use of biomarkers that reflect inflammatory status or/and metabolic activity in order to identify patients who may be uniquely responsive to immune-targeted therapies. These biomarkers could also serve to objectively monitor therapeutic responses and to determine the appropriate, for each patient, dosage of the new medicine. It is possible that relevant findings can benefit the great population of depression disorder patients that fail to achieve remission and also contribute in the personalization of the treatment of depression.