Depressive disorders appear relatively frequently in older patients, and therefore represent an important disease burden worldwide. Given the high levels of inflammatory parameters found in depressed elderly patients, the “inflammaging” hypothesis is gaining strength. In this systematic review, we summarize current evidence regarding the relationship between inflammatory parameters and late-life depression, with a unique focus on longitudinal studies to guarantee temporality. According to the data summarized in this review, the levels of some proinflammatory parameters—especially interleukin (IL)-8, IL-6, and tumor necrosis factor (TNF)-α—could serve as biomarkers for the future development of depressive symptoms in elderly patients. Proinflammatory cytokines seem to be associated with the future development of clinically significant depression, irrespective of baseline scores, thus indicating that inflammation temporally precedes and increases depression risk. As insufficient research has been conducted in this field, further prospective studies are clearly warranted.