Depression is a chronic and prevalent neuropsychiatric disorder; clinical symptoms include excessive sad mood, anhedonia, increased anxiety, disturbed sleep, and cognitive deficits. The exact etiopathogenesis of depression is not well understood. Studies have suggested that tumor necrosis factor-alpha (TNF-α) and interleukins (ILs) perform vital roles in the pathogenesis and treatment of depression. Increasing evidence suggests the upregulation of TNF-α and ILs expression in patients with depression. Therefore, biologics like TNF inhibitors (etanercept, infliximab, adalimumab) and IL inhibitors (ustekinumab) have become key compounds in the treatment of depression. Interestingly, treatment with an antidepressant has been found to decrease the TNF-α level and improve depression-like behaviors in several preclinical and clinical studies. In the current article, we have reviewed the recent findings linking TNF-α and the pathogenesis of depression proving TNF-α inhibitors as potential new therapeutic agents. Animal models and clinical studies further support that TNF-α inhibitors are effective in ameliorating depression-like behaviors. Moreover, studies showed that peripheral injection of TNF-α exhibits depressive symptoms. These symptoms have been improved by treatment with TNF-α inhibitors. Hence suggesting TNF-α inhibitors as potential new antidepressants for the management of depressive disorder.