Alteration of tryptophan (TRP) metabolism elicited by proinflammatory cytokines has gained attention as a new concept to explain the etiological and pathophysiological mechanisms of major depression. The kynurenine (KYN) pathway, which is initiated by indoleamine 2,3-dioxygenase (IDO), is the main TRP metabolic pathway. It shares TRP with the serotonin (5-HT) pathway. Proinflammatory cytokines induce IDO under stress, promote the KYN pathway, deprive the 5-HT pathway of TRP, and reduce 5-HT synthesis. The resultant decrease in 5-HT production may relate to the monoamine hypothesis of major depression. Furthermore, metabolites of the KYN pathway have neurotoxic/neuroprotective activities; 3-hydroxykynurenine and quinolinic acid are neurotoxic, whereas kynurenic acid is neuroprotective. The hippocampal atrophy that appears in chronic depression may be associated with imbalances in neurotoxic/neuroprotective activities. Because proinflammatory cytokines also activate the hypothalamo-pituitary-adrenal (HPA) axis, these imbalances may inhibit the hippocampal negative feedback system. Thus, changes in the TRP metabolism may also relate to the HPA axis-hyperactivity hypothesis of major depression. In this article, we review the changes in TRP metabolism by proinflammatory cytokines under stress, which is assumed to be a risk factor for major depression, and the relationship between physiological risk factors for major depression and proinflammatory cytokines.