Depression is a major class of mental illness; owing to its high prevalence, high disability rate and heavy disease burden, it has become a stern and formidable global health problem. It is generally believed that the etiology of depression is multifactorial, which is related to gender differences, chronic stress, dietary behavior and drug abuse. At present, the exact pathophysiological mechanism of depression still remains unclear, but researchers across the globe put forward various hypotheses to interpret the possible access to this disease, including monoamine neurotransmitter disturbance, hypothalamic-pituitary-adrenal (HPA) axis dysfunction, lack of neurotrophic factors and excessive pro-inflammatory cytokines. Based on the latest research evidence and the objective fact that traditional antidepressants may be ineffective in some particular patients, the "cytokine theory" tends to attract more and more attention recently. To date, researches on the role of cytokines in the pathogenesis of depression mainly focus on pro-inflammatory cytokines, especially categories including tumor necrosis factor-α (TNF-α), interleukin-1β (IL-1β) and interleukin-6 (IL-6). With the proceeding of researches from all over the world, a variety of novel molecules and mechanisms were postulated. This paper summarized a large amount of in vitro and in vivo research evidence, in order to review the current progress of the researches on pathophysiology of depression from the perspective of pro-inflammatory cytokines. Since the response rate of antidepressant therapy during present medical practice is unsatisfying, we suggest a new feasible diagnosis and treatment strategy, that is to distinguish the inflammatory status of patients with depression and take anti-inflammatory treatment into consideration. Totally, this novel strategy aims at modulating the conventional clinical protocol for treatment-resistant depressive patients and overcoming the limitation of insufficient antidepressant response possibly resulted from inflammation.