People with HIV are at increased risk for depression, though the neurobiological mechanisms underlying this are unclear. In the last decade, there has been a substantial rise in interest in the contribution of (neuro)inflammation to depression, coupled with rapid advancements in the resolution and sensitivity of biomarker assays such as Luminex, single molecular array, and newly-developed PET radioligands. Numerous preclinical and clinical studies have recently leveraged these next-generation immunoassays to identify biomarkers that may be associated with HIV and depression (separately), though few studies have explored these biomarkers in co-occurring HIV and depression. Using a systematic search, we detected 33 publications involving a cumulative N = 10,590 participants which tested for associations between depressive symptoms and 55 biomarkers of inflammation and related processes in participants living with HIV. Formal meta-analyses were not possible as statistical reporting in the field was highly variable; future studies must fully report test statistics and effect size estimates. The majority of included studies were carried out in the United States, with samples that were primarily older and primarily men. Substantial further work is necessary to diversify the geographical, age, and sex distribution of samples in the field. This review finds that alterations in concentrations of certain biomarkers of neuroinflammation (interleukin-6, tumour necrosis factor-α, neopterin) may influence the association between HIV and depression. Equally, the chemokines monocyte chemoattractant protein-1 (MCP-1) and interleukin-8 (IL-8) or the metabolic index kynurenine:tryptophan (Kyn:Trp), which have been the focus of several studies, do not appear to be associated with depressive symptoms amongst people living with HIV, as all (MCP-1) or most (IL-8 and Kyn:Trp) available studies of these biomarkers reported non-significant associations. We propose a biomarker-driven hypothesis of the neuroimmunometabolic mechanisms which may precipitate the increased risk of depression amongst people with HIV. Chronically activated microglia, which trigger key neuroinflammatory cascades shown to be upregulated in people with HIV, may be the central link connecting HIV infection in the central nervous system with depressive symptoms. Findings from this review may inform research design in future studies of HIV-associated depression and enable concerted efforts towards biomarker discovery.