Cytokines are pleiotropic molecules with important roles in inflammatory responses. Pro-inflammatory cytokines and neuroinflammation are important not only in inflammatory responses but also in neurogenesis and neuroprotection. Sustained stress and the subsequent release of pro-inflammatory cytokines lead to chronic neuroinflammation, which contributes to depression. Hippocampal glucocorticoid receptors (GRs) and the associated hypothalamus–pituitary–adrenal (HPA) axis have close interactions with pro-inflammatory cytokines and neuroinflammation. Elevated pro-inflammatory cytokine levels and GR functional resistance are among the most widely investigated factors in the pathophysiology of depression. These two major components create a vicious cycle. In brief, chronic neuroinflammation inhibits GR function, which in turn exacerbates pro-inflammatory cytokine activity and aggravates chronic neuroinflammation. On the other hand, neuroinflammation causes an imbalance between oxidative stress and the anti-oxidant system, which is also associated with depression. Although current evidence strongly suggests that cytokines and GRs have important roles in depression, they are essential components of a whole system of inflammatory and endocrine interactions, rather than playing independent parts. Despite the evidence that a dysfunctional immune and endocrine system contributes to the pathophysiology of depression, much research remains to be undertaken to clarify the cause and effect relationship between depression and neuroinflammation.