Women become depressed more frequently than men, a consistent pattern across cultures. Inflammation plays a key role in initiating depression among a subset of individuals, and depression also has inflammatory consequences. Notably, women experience higher levels of inflammation and greater autoimmune disease risk compared to men. In the current review, we explore the bidirectional relationship between inflammation and depression and describe how this link may be particularly relevant for women. Compared to men, women may be more vulnerable to inflammation-induced mood and behavior changes. For example, transient elevations in inflammation prompt greater feelings of loneliness and social disconnection for women than for men, which can contribute to the onset of depression. Women also appear to be disproportionately affected by several factors that elevate inflammation, including prior depression, somatic symptomatology, interpersonal stressors, childhood adversity, obesity, and physical inactivity. Relationship distress and obesity, both of which elevate depression risk, are also more strongly tied to inflammation for women than for men. Taken together, these findings suggest that women's susceptibility to inflammation and its mood effects may contribute to sex differences in depression. Depression continues to be a leading cause of disability worldwide, with women experiencing greater risk than men. Due to the depression-inflammation connection, these patterns may promote additional health risks for women. Considering the impact of inflammation on women's mental health may foster a better understanding of sex differences in depression, as well as the selection of effective depression treatments.