Chronic stress, by initiating changes in the hypothalamic-pituitary-adrenal (HPA) axis and the immune system, acts as a trigger for anxiety and depression. There is experimental and clinical evidence that the rise in the concentration of pro-inflammatory cytokines and glucocorticoids, which occurs in a chronically stressful situation and also in depression, contribute to the behavioural changes associated with depression. A defect in serotonergic function is associated with these hormonal and immune changes. Neurodegenerative changes in the hippocampus, prefrontal cortex and amygdalae are the frequent outcome of the changes in the HPA axis and the immune system. Such changes may provide evidence for the link between chronic depression and dementia in later life.