It is determined that 30% of patients with depression are resistant to antidepressant medication. The increased concentration of inflammation factors, such as C-reactive protein, and pro-inflammatory cytokines, have been detected in serum in these patients. It is necessary to establish new therapeutic possibilities and protocols that are created to overcome the difficulties caused by increased concentration of inflammatory biomarkers in depressive patients. The Selective Serotonin Reuptake Inhibitors (SSRIs) are considered to be the most powerful antidepressants, increasing the level of serotonin in endogenous depression, as well as in that caused by immunological mechanisms. It is believed that agents that influence cytokines, immunological signal pathways and cytokine syntheses, like the inhibitors of cyclooxygenase enzyme and other non-steroidal anti-inflammatory drugs (NSAIDs), are very important in the potential treatment of residual symptoms of depression. Treatment with cytokine antagonists is one of the potential adjuvant therapies, along with antidepressants. Signal pathways blockers, such as the inhibitors of cyclooxygenase and other NSAIDs, are in the phase of research, in terms of their antidepressant effects. Also, it has been shown that the inhibition of indolamin-2,3 deoxygenase (IDO) and kynurenine (KYN) signal pathways in the synthesis of neurotransmitters, by application of IDO antagonists, are leading to suppression of pro-inflammatory cytokine effects. Antidepressants may have anti-inflammatory effects, depending on dose and type, and they achieve this effect through the decrease of pro-inflammatory cytokine production and increase of anti-inflammatory cytokines. Also, antidepressants modulate the humoral and cellular immune system. This work aims to summarise certain neurobiological and neuroimmunological specificities that have been observed in patients with depression, antidepressants and immunomodulation agents. The understanding of complex and heterogenic pathophysiology of depression through the prism of the altered immune system, is of major importance, in terms of better optimisation of pharmacotherapy, and options for a personalised approach in depressive disorder treatment.