Major depression and bipolar disorder are heterogeneous conditions in which there can be dysregulation of (1) the stress system response, (2) its capacity for counterregulation after danger has passed and (3) the phase in which damaging molecules generated by the stress response are effectively neutralized. The response to stress and depressed mood share common circuitries and mediators, and each sets into motion not only similar affective and cognitive changes, but also similar systemic manifestations. We focus here on two highly interrelated processes, parainflammation and endoplasmic reticulum (ER) stress, each of which can potentially interfere with all phases of a normal stress response in affective illness, including adaptive neuroplastic changes and the ability to generate neural stem cells. Parainflammation is an adaptive response of the innate immune system that occurs in the context of stressors to which we were not exposed during our early evolution, including overfeeding, underactivity, aging, artificial lighting and novel foodstuffs and drugs. We postulate that humans were not exposed through evolution to the current level of acute or chronic social stressors, and hence, that major depressive illness is associated with a parainflammatory state. ER stress refers to a complex program set into motion when the ER is challenged by the production or persistence of more proteins than it can effectively fold. If the ER response is overwhelmed, substantial amounts of calcium are released into the cytoplasm, leading to apoptosis. Parainflammation and ER stress generally occur simultaneously. We discuss three highly interrelated mediators that can effectively decrease parainflammation and ER stress, namely the central insulin, klotho and peroxisome proliferator-activated receptor-γ (PPAR-γ) systems and propose that these systems may represent conceptually novel therapeutic targets for the amelioration of the affective, cognitive and systemic manifestations of major depressive disorder.