This review summarizes some of the evidence which implicates an increase in the peripheral and central secretion of pro-inflammatory cytokines in the behavioural changes seen in some stress-induced and brain lesion models of depression. Following a consideration of the role of cytokines in the periphery and the brain, evidence is presented suggesting that pro-inflammatory cytokines alter the function of monoamine neurotransmitters which have been implicated in severe stress and in major depression. These changes occur in the presence of elevated glucocorticoid concentrations which suggests that immune activation is correlated with a decrease in the sensitivity of the glucocorticoid receptors on immune cells in addition to those occurring in the brain. The review concludes with a brief account of the various rodent models of depression in which evidence of immune activation as been demonstrated.