There is a plausible role for cytokines, brain-derived neurotrophic factor (BDNF), and their interaction in major depressive disorder's (MDD) etiology. This review includes (i) briefly defining cytokines, (ii) a discussion of theories for why they may affect brain function, (iii) cross-sectional associations between cytokines and MDD, (iv) the effect of antidepressants on cytokines, (v) the behavioral effects of cytokines administration to humans, (vi) the behavior effects of their administration to animal models, and (vii) potential neurochemical systems influenced by cytokines. The role of BDNF is then briefly examined, along with a review of several studies that have examined a Val/Met polymorphism in the BDNF gene. The bidirectional relationship between BDNF and cytokines is subsequently discussed. Potential ramifications for MDD treatment that are appraised include (i) use of cytokine biomarkers for identifying specific populations for targeted MDD therapy, (ii) the use of medications that directly antagonize the role of inflammatory cytokines, (iii) potential indirect modifiers of cytokine activity, and (iv) possible downstream intracellular second messenger targets.