MDDs (major depressive disorders) belong to the most frequently diagnosed mental diseases and affect approximately 350 million people all over the world. A growing body of evidence suggests that inflammatory processes may play a significant role in the pathophysiology and progression of the disease. The comorbidity of MDDs with many other medical conditions, for example autoimmune diseases (ADs) caused by inflammation, has been observed on numerous occasions. In both cases, increased levels of pro-inflammatory cytokines, chemokines and other inflammatory agents are observed. Furthermore, higher rates of inflammatory markers are associated with a poorer response to antidepressant treatment. Additionally, the presence of any AD is associated with higher prevalence of depression and may reduce the chance of effective therapy. Interestingly, the administration of several anti-inflammatory agents used in AD treatment is positively correlated with a reduction of depressive symptoms. In conclusion, the factors contributing to the coexistence of depression as well as affecting antidepressant treatment effectiveness may lead to an alteration of the cytokine profiles in many autoimmune diseases.