Major depressive disorder (MDD) represents a serious health problem estimated to affect 350 million people globally. Importantly, MDD has repeatedly emerged as an etiological or prognostic factor in cardiovascular disease (CVD) development, including vascular pathology. Several linking pathomechanisms between MDD and CVD involve abnormal autonomic regulation, inflammation, and endothelial dysfunction as an early preclinical stage of atherosclerosis. However, the cause of accelerated atherosclerosis in MDD patients remains unclear. Recently, the causal relationships between MDD and mediator (e.g., inflammation and/or endothelial dysfunction), as well as the causal pathways from the mediator to atherosclerosis, were discussed. Specifically, MDD is accompanied by immune dysregulation, resulting in increased production of proinflammatory cytokines (e.g., interleukin (IL)-6 and tumor necrosis factor (TNF)-α), which could lead to depression-linked abnormalities in brain function. Further, MDD has an adverse effect on endothelial function; for example, circulating markers of endothelial dysfunction (e.g., soluble adhesion molecules, von Willebrand factor) have been linked with depression. Additionally, MDD-linked autonomic dysregulation, which is characterized by disrupted sympathovagal balance associated with excessive circulating catecholamines, can contribute to CVD. Taken together, activated inflammatory response, endothelial dysfunction, and autonomic dysregulation could affect gradual atherosclerosis progression, resulting in a higher risk of developing CVD in MDD. This review focused on the pathomechanisms linking MDD and CVD with respect to neuroimmune regulation, and the description of promising biomarkers, which is important for the early diagnosis and personalized prevention of CVD in major depression.