Depression is a severe medical condition with multiple manifestations and diverse, largely unknown etiologies. The immune system, particularly macrophages, plays an important role in the pathology of the illness. Macrophages represent a heterogeneous population of immune cells that is dispersed throughout the body. The central nervous system is populated by several types of macrophages, including microglia, perivascular cells, meningeal and choroid plexus macrophages and pericytes. These cells occupy different brain compartments and have various functions. Under basal conditions, brain macrophages support the proper function of neural cells, organize and preserve the neuronal network and maintain homeostasis. As cells of the innate immune system, they recognize and react to any disturbances in homeostasis, eliminating pathogens or damaged cells, terminating inflammation and proceeding to initiate tissue reconstruction. Disturbances in these processes result in diverse pathologies. In particular, tissue stress or malfunction, both in the brain and in the periphery, produce sustained inflammatory states, which may cause depression. Excessive release of proinflammatory mediators is responsible for alterations of neurotransmitter systems and the occurrence of depressive symptoms. Almost all antidepressive drugs target monoamine or serotonin neurotransmission and also have anti-inflammatory or immunosuppressive properties. In addition, non-pharmacological treatments, such as electroconvulsive shock, can also exert anti-inflammatory effects. Recent studies have shown that antidepressive therapies can affect the functional properties of peripheral and brain macrophages and skew them toward the anti-inflammatory M2 phenotype. Because macrophages can affect outcome of inflammatory diseases, alleviate sickness behavior and improve cognitive function, it is possible that the effects of antidepressive treatments may be, at least in part, mediated by changes in macrophage activity.