Studies consistently report that groups of individuals with major depressive disorder (MDD) demonstrate increased levels of a variety of peripheral inflammatory biomarkers when compared with groups of nondepressed individuals. These findings are often interpreted as meaning that MDD, even in medically healthy individuals, may be an inflammatory condition. In this article, we examine evidence for and against this idea by looking more closely into what the actual patterns of inflammatory findings indicate in terms of the relationship between MDD and the immune system. Data are presented in support of the idea that inflammation only contributes to depression in a subset of patients versus the possibility that the depressogenic effect of inflammatory activation is more widespread and varies depending on the degree of vulnerability any given individual evinces in interconnected physiologic systems known to be implicated in the etiology of MDD. Finally, the treatment implications of these various possibilities are discussed.