Recent studies suggest immune function dysregulation in depression and anxiety disorders. Elevated pro-inflammatory cytokines may be a marker for immune system dysregulation. No study assessed the correlation between the levels of cytokines in children and adolescents with depression/anxiety disorders and their parents. In this study, 92 children and adolescents (mean age 13.90 ± 2.41 years) with depression and/or anxiety disorders were treated with fluoxetine. Blood samples were collected before initiation of treatment. One hundred and sixty-four of their parents (mean age 50.6 ± 6.2 years) and 25 parents of healthy children (mean age 38.5 ± 6.2 years) also gave blood samples. Plasma levels of three pro-inflammatory cytokine (TNF-α, IL-6, IL-1β) were measured by enzyme linked immunosorbent assays (ELISA) and compared between depressed/anxious children and their parents. We also compared cytokine levels between parents of children with depression/anxiety and control parents. Mothers of depressed children had higher TNF-α levels than mothers of controls. No significant difference was detected in the fathers. A positive correlation was found between the IL-1β levels of the depressed/anxious boys and their mothers. No such correlation was observed in the fathers. Our conclusions are that higher levels of proinflammatory cytokines may indicate immune system activation in mothers in response to the distress associated with having depressed/anxious offspring. The correlation between IL-1β levels in the mothers and their depressed/anxious children may indicate familial vulnerability to depression and anxiety. Our observation highlights the need for a better understanding of sexual dimorphism in inflammatory responses to stress.