In order to diagnose a major depressive disorder, patients must have at least 5 depressive symptoms out of 9 criteria, present for at least two weeks. Depressive symptoms include absence of concentration, fatigue and suicidal ideation. The intensity of depression symptoms affects the severity of depression and the degree of the impact on the quality of life. Major depressive disorders (MDD) are defined as a significant health problem, and are estimated to rise in prevalence in the future years. Immune cytokine, associated with major depression for instance, is the interleukin IL-6 and tumor necrosis factor (TNF-α) which is defined as pro-inflammatory cytokines, can activate an inflammatory response. The effects of other inflammatory cytokines on the central nervous system are of controversy. There is an increasing interest about the effect of cytokines derived from innate immune system on the brain and behavior. Cytokines are defined as large sized proteins, mainly produced by immune cells. Two subtypes of cytokines exist: pro-inflammatory cytokines, facilitating inflammatory responses and neural activities; and anti-inflammatory cytokines, inhibiting inflammatory processes. Besides microglia and astrocytes, immune cells such as monocytes, macrophages, and lymphocytes also produce cytokines. At the times of immunological alterations, infections or inflammation, cytokines will be in an activated form. The main goal of the current review study is to investigate the role of the immune system in the depression disorder.