Data from clinical and preclinical studies indicate that immune dysregulation, specifically of inflammatory processes, is associated with symptoms of major depressive disorder (MDD). In particular, increased levels of circulating pro-inflammatory cytokines and concomitant activation of brain-resident microglia can lead to depressive behavioural symptoms. Repeated exposure to psychological stress has a profound impact on peripheral immune responses and perturbs the function of brain microglia, which may contribute to neurobiological changes underlying MDD. Here, we review these findings and discuss ongoing studies examining neuroimmune mechanisms that influence neuronal activity as well as synaptic plasticity. Interventions targeting immune-related cellular and molecular pathways may benefit subsets of MDD patients with immune dysregulation.