Depression is a very common mental health problem in our modern society. Stress is involved in the provocation of depression. The pathogenesis of depressive disorder is still not well known. The development of neuroendocrine immunology opens a new sight for clarification of mechanism underlying stress-induced depression. Chronic stress activates peripheral and central immune systems accompanied with the release of inflammatory mediators, including cytokines. Activated immune system mediates the process of depression through the interaction with neuron system and neuroendocrine system, including regulating the monoamine neurotransmitter system in synthesis, metabolism and reuptake, inducing the overactivation of hypothalamus-pituitary-adrenal (HPA) axis and its negative feedback regulation, and reducing neurogenesis. This present paper reviews the cytokines mechanisms underlying stress-induced depression.