This review summarises the evidence that chronic low grade inflammation triggers changes that contribute to the mental and physical ill health of patients with major depression. Inflammation, and the activation of the hypothalamic pituitary axis by stress, are normal components of the stress response but when stress is prolonged and the endocrine and immune system become chronic resulting in the activation of the peripheral macrophages, the central microglia and hypercortisolemia, the neuronal networks are damaged and become dysfunctional. The proinflammatory cytokines, in addition to activating the hypothalamic–pituitary–adrenal axis and thereby increasing cortisol synthesis, also activate the tryptophan–kynurenine pathway. This results in the synthesis of the neurotoxic N-methyl-d-aspartate (NMDA) glutamate agonist quinolinic acid and 3-hydroxykynurenine thereby enhancing oxidative stress and contributes to neurodegeneration which characterise major depression particularly in late life.While antidepressants attenuate some of the endocrine and immune changes caused by inflammation, not all therapeutically effective antidepressants do so. This suggests that drugs which specifically target the immune, endocrine and neurotransmitter systems may be more effective antidepressants.The preliminary clinical evidence that some non-steroidal anti-inflammatory drugs, such as the cyclooxygenase 2 inhibitor celecoxib, can enhance the response to standard antidepressant treatment is therefore considered and a critical assessment made of the possible limitations of such an approach to novel antidepressant development.