Current diagnosis of depression is based solely on behavioral symptomatology. The available US Food and Drug Administration-approved treatments for depression have come from serendipitous discovery and are ineffective in nearly 30-50% of patients, which is thought to reflect a lack of specificity in targeting underlying pathophysiological mechanisms. Recent evidence has identified depression-related disruptions in a neuroimmune axis that interfaces the immune system and CNS to control behavior. This Review examines the evidence in patients and in animal models of depression that demonstrates how the peripheral immune system acts on the brain to alter an individual's response to stress, ultimately contributing to their vulnerability to mood disorders.