Metabolic syndrome and major depression are two of the most common and debilitating disorders worldwide, occurring with significant rates of comorbidity. Recent studies have uncovered that each of these conditions is associated with chronic, low-grade inflammation. This is characterized by increased circulating pro-inflammatory cytokines, altered leukocyte population frequencies in blood, accumulation of immune cells in tissues including the brain, and activation of these immune cells. Cytokines that become elevated during obesity can contribute to the progression of metabolic syndrome by directly causing insulin resistance. During chronic stress, there is evidence that these cytokines promote depression-like behavior by disrupting neurotransmitter synthesis and signal transduction. Animal models of obesity and depression have revealed a bi-directional relationship whereby high-fat feeding and chronic stress synergize and exacerbate metabolic dysregulation and behavioral abnormalities. Although far from conclusive, emerging evidence suggests that inflammation in the central and peripheral immune system may link metabolic syndrome to major depressive disorder. In this review, we will synthesize available data supporting this view and identify critical areas for future investigation.