Major depressive disorder (MDD) is a prominent psychiatric disorder with a high prevalence rate. The recent COVID-19 pandemic has exacerbated the already high prevalence of MDD. Unfortunately, a significant proportion of patients are unresponsive to conventional treatments, necessitating the exploration of novel therapeutic strategies. Oxytocin, an endogenous neuropeptide, has emerged as a promising candidate with anxiolytic and antidepressant properties. Oxytocin has been shown to alleviate emotional disorders by modulating the hypothalamic-pituitary-adrenal (HPA) axis and the central immune system. The dysfunction of the immune system has been strongly linked to the onset and progression of depression. The central immune system is believed to be a key target of oxytocin in ameliorating emotional disorders. In this review, we examine the evidence regarding the interactions between oxytocin, the immune system, and depressive disorder. Moreover, we summarize and speculate on the potential roles of the intertwined association between oxytocin and the central immune system in treating emotional disorders.