Depression, mild cognitive impairment (MCI) and dementia are highly prevalent conditions that are increasing exponentially with similarly expanding social, medical and economic burdens. While there is a clear clinical connection between these three disorders, the mechanism of action that links them is less well understood. The lack of well-accepted biomarkers results in high levels of diagnostic subjectivity, which then greatly impacts research results when attempting to further explore their association. There is also a variety of clinical presentations of depressive syndromes, particularly in the elderly; each one may be associated with a different risk in the progression from MCI to different types of dementia. The diagnostic challenges, the importance of biomarkers and the discussion of inflammation as a possible link between depression, MCI and dementia are examined in this article.