Major depressive disorder (MDD) is a common, severe and disabling neuropsychiatric disorder with a heterogenous etiology. Among the most widely recognized etiological models, immunopathogenesis is a predominant one. Numerous studies have demonstrated aberrant levels of inflammatory markers in the peripheral blood, cerebrospinal fluid (CSF) and brain of patients with MDD. Multiple studies including meta-analyses have reported increased peripheral levels of acute phase proteins, and pro-inflammatory cytokines, particularly IL-1β, TNF-α, and IL-6 in MDD. Postmortem brain studies similarly demonstrated upregulated expressions of these pro-inflammatory cytokines. This along with evidence of monocytic, lymphocytic and microglial activation, suggest an activated inflammatory response system (IRS) in MDD. A few studies show increased levels of anti-inflammatory cytokines or defective inflammatory pathways and a deficit in T cell maturation and responses in MDD patients. This suggests the presence of a Compensatory Immune Response System (CIRS), which can counterbalance the effects of IRS in major depression. More recently, simultaneously increased levels of both the pro-and anti-inflammatory cytokines are reported in the brain of MDD patients; this indicates activity of both the IRS and CIRS in MDD. The IRS and CIRS are the evolutionarily conserved and integral elements of an overarching system. The relevance of a dysregulated IRS-CIRS system in the neurobiological construct of MDD is just beginning to be understood. Speculation is rife that the disrupted IRS-CIRS elements might determine the onset, episodes, neuroprogressive processes, treatment response as well as recovery of patients with MDD. Notably, the signatures of an activated IRS-CIRS might emerge as potential biomarkers of MDD. Herein, an attempt has been made to highlight the biology and pathobiological relevance of IRS-CIRS activation in MDD and provide an insight into the role of these components in pharmacological therapy.