Accumulating evidence supports an association between depression and inflammatory processes, a connection that seems to be bidirectional. Clinical trials have indicated antidepressant treatment effects for anti-inflammatory agents, both as add-on treatment and as monotherapy. In particular, nonsteroidal anti-inflammatory drugs (NSAIDs) and cytokine-inhibitors have shown antidepressant treatment effects compared to placebo, but also statins, poly-unsaturated fatty acids, pioglitazone, minocycline, modafinil, and corticosteroids may yield antidepressant treatment effects. However, the complexity of the inflammatory cascade, limited clinical evidence, and the risk for side effects stress cautiousness before clinical application. Thus, despite proof-of-concept studies of anti-inflammatory treatment effects in depression, important challenges remain to be investigated. Within this paper, we review the association between inflammation and depression together with the current evidence on use of anti-inflammatory treatment in depression. Based on this, we address the questions and challenges that seem most important and relevant to future studies, such as timing, most effective treatment lengths and identification of subgroups of patients potentially responding better to different anti-inflammatory treatment regimens.