Diagnostic criteria for mood disorders including major depressive disorder (MDD) largely ignore biological factors in favor of behavioral symptoms. Compounding this paucity of psychiatric biomarkers is a need for therapeutics to adequately treat the 30-50% of MDD patients who are unresponsive to traditional antidepressant medications. Interestingly, MDD is highly prevalent in patients suffering from chronic inflammatory conditions, and MDD patients exhibit higher levels of circulating pro-inflammatory cytokines. Together, these clinical findings suggest a role for the immune system in vulnerability to stress-related psychiatric illness. A growing body of literature also implicates the immune system in stress resilience and coping. In this review, we discuss the mechanisms by which peripheral and central immune cells act on the brain to affect stress-related neurobiological and neuroendocrine responses. We specifically focus on the roles of pro-inflammatory cytokine signaling, peripheral monocyte infiltration, microglial activation, and hypothalamic-pituitary-adrenal axis hyperactivity in stress vulnerability. We also highlight recent evidence suggesting that adaptive immune responses and treatment with immune modulators (exogenous glucocorticoids, humanized antibodies against cytokines) may decrease depressive symptoms and thus represent an attractive alternative to the current antidepressant treatments.