Research in the past two decades has revolutionized our understanding of depressive illnesses. Proinflammatory cytokines have become a point of interest in the interconnecting areas of neuropsychiatric and autoimmune diseases. The cytokine hypothesis of depression suggests that pro‐inflammatory cytokines play a primary role in the mediation of the pathophysiological characteristics of major depression, in which an inflammatory process may be induced by external and internal stressors, such as psychological and inflammatory diseases, respectively. The higher prevalence of depression, particularly in patients with chronic autoimmune connective tissue disorders (CTD), suggests that depression may present a dysfunctional adaptation of cytokine‐induced sickness, which could manifest in times of an exacerbated activation of the innate immune system. Inflammation is thought to contribute to the development of clinical depression through its ability to induce sickness behaviors corresponding to the neurovegetative features of depression, through the dysregulation of the hypothalamic–pituitary–adrenal axis, alterations in neurotransmitter synthesis and reuptake, and through its involvement in the neuroprogression pathways. This review explores the complex interrelationships in which inflammatory responses alter neuroendocrine and neuropsychological regulation contributing to depressive symptoms in CTD. The prevalence and characteristics of depression, and its correlation to the levels of inflammatory cytokines and disease activity among different CTD will be reviewed.