The relationship between depressive symptoms and coronary artery disease (CAD) is mediated in part by immune system parameters. This review describes research on the psychoneuroimmunological pathways accounting for the association between depression and CAD, and addresses conceptual and methodological issues. Relationships between central nervous system correlates of depression and immune system parameters are bidirectional and are mediated via neurohormonal and parasympathetic pathways. Evidence suggests that these associations can be affected by a) the clinical characteristics of depression (e.g., typical depression versus atypical depression and exhaustion), b) the duration and severity of depressive symptoms, and c) the stage of underlying CAD. Depressive symptoms are hypothesized to affect primarily the transition from stable CAD to acute coronary syndromes via plaque activation and prothrombotic processes, and may play an additional role in the response to injury at early stages of coronary atherosclerosis.