Depression has been hypothesized to be related to the reduced biosynthesis of neurotransmitters such as serotonin, noradrenalin and dopamine. Much past research has also been devoted to dysregulation of the hypothalamic-pituitary-adrenal (HPA) axis in depression. The present article reviews the evidence linking tetrahydrobiopterin, a co-factor in the biosynthesis of neurotransmitters, and nitric oxide, an apparent neuroendocrine modulator of the HPA axis, to the immune system and to neuronal control within affective disorder and stress. On the basis of this review, it is suggested that future psychoneuroimmunological research should more fully explore the possible role of tetrahydrobiopterin and nitric oxide in depressive disorders.