The role of inflammation in the pathogenesis of depression is becoming increasingly apparent, but its role in perinatal depression is less well-studied. Pregnancy and the postpartum are characterised by distinct and changing inflammatory profiles throughout, which makes the study of depression-related alterations in this period complex. This review presents literature discussing a role for the immune system in both antenatal and postnatal depression. Furthermore, literature investigating the role of the maternal immune system on breast milk composition and offspring immunological and behavioural outcomes is discussed, before concluding with suggestions for future work as this developing field grows.