Major depression is a serious psychiatric disorder; however, the precise biological basis of depression still remains elusive. A large body of evidence implicates a dysregulated endocrine and inflammatory response system in the pathogenesis of depression. Despite this, given the heterogeneity of depression, not all depressed patients exhibit dysregulation of the inflammatory and endocrine systems. Evidence suggests that inflammation is associated with depression in certain subgroups of patients and that those who have experienced stressful life events such as childhood trauma or bereavement may be at greater risk of developing depression. Consequently, prolonged exposure to stress is thought to be a key trigger for the onset of a depressive episode. This review assesses the relationship between stress and the immune system, with a particular interest in the mechanisms by which stress impacts immune function, and how altered immune functioning, in turn, may lead to a feed forward cascade of multiple systems dysregulation and the subsequent manifestation of depressive symptomology. The identification of stress-related immune markers and potential avenues for advances in therapeutic intervention is vital. Changes in specific biological markers may be used to characterize or differentiate depressive subtypes or specific symptoms and may predict treatment response, in turn facilitating a more effective, targeted, and fast-acting approach to treatment.